# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004485
**Filing Date:** 2025-11
**Character Count:** 4305560
**Document Hash:** 16d183e10070083aeb828781458957c3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004485.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004485

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528406

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

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

## Series and Classes Contracts Data

### PIMCO Income Fund (Series ID: S000016548)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000046098 | Class A        | PONAX           |
| C000046099 | Class C        | PONCX           |
| C000046101 | Class R        | PONRX           |
| C000046102 | Institutional  | PIMIX           |
| C000046103 | Administrative | PIINX           |
| C000064169 | I-2            | PONPX           |
| C000200460 | I-3            | PIPNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Income Fund

- **b. EDGAR series identifier (if any):** S000016548

- **c. LEI of Series:** XSQUIHC65X62JACTUZ45

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $447769884264.20

**Total Liabilities:** $245201523090.31

**Net Assets:** $202568361173.89

**Delayed Delivery Securities:** $6724533184.01

**Cash Not Reported:** $414462772.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 13427195.970200 | **1-Year:** 25061877.180800 | **5-Year:** 48518199.040300 | **10-Year:** 9985386.799900 | **30-Year:** -2441297.541400

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

- **3-Month:** 4475248.193600 | **1-Year:** 3407675.187700 | **5-Year:** 7955385.972900 | **10-Year:** 2682772.579600 | **30-Year:** 405880.688000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000046103 | 0.12%                | 1.61%                | 0.76%                |
| Class ID C000046098 | 0.11%                | 1.60%                | 0.75%                |
| Class ID C000046099 | 0.04%                | 1.54%                | 0.69%                |
| Class ID C000064169 | 0.13%                | 1.62%                | 0.78%                |
| Class ID C000200460 | 0.13%                | 1.62%                | 0.77%                |
| Class ID C000046101 | 0.09%                | 1.58%                | 0.73%                |
| Class ID C000046102 | 0.14%                | 1.63%                | 0.78%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $355755224.71            | $-1903568771.53                            |
| Month 2  | $712725139.49            | $1960796929.42                             |
| Month 3  | $1144237475.87           | $-201021628.16                             |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-227496.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2004-3                                                    | GSAA HOME EQUITY TRUST GSAA 2004 3 AF4                     | CUSIP: 36228F3P9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1578618 | PA      | $1568641.98     | 0.00%             | 2034-04-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A3            | CUSIP: 55275TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30994557 | PA      | $8729880.55     | 0.00%             | 2037-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08705 FG 05/46 FIXED 3                  | CUSIP: 3128MJYB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54091 | PA      | $49020.61       | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A4           | CUSIP: 74922KAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        64572 | PA      | $51647.34       | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2004-3                                                 | SAXON ASSET SECURITIES TRUST SAST 2004 3 M2                | CUSIP: 805564QW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       185809 | PA      | $171257.85      | 0.00%             | 2034-12-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $15145359.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6053 FN 08/53 FIXED 6                          | CUSIP: 3140NNWP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1304845 | PA      | $1336410.20     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $20271.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVEST INC 2005-A1                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A1 2A1            | CUSIP: 59020UQD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3305 | PA      | $3344.63        | 0.00%             | 2034-12-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                                   | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                    | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8026191 | PA      | $7338359.08     | 0.00%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1314 FN 01/48 FIXED 4                          | CUSIP: 3140Q8N84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10843533 | PA      | $10439608.50    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2249 FN 04/39 FIXED 4                          | CUSIP: 3138WBQB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11321 | PA      | $11142.46       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1           | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          125 | PA      | $132.55         | 0.00%             | 2033-02-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 12/21/22-30Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $283281772.97   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP2 PT 144A       | CUSIP: 17330JAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    693046781 | PA      | $567353529.58   | 0.28%             | 2062-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-RPL1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2025 RPL1 A1A 144A    | CUSIP: 16160VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32594936 | PA      | $29601583.35    | 0.01%             | 2065-04-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-2                                                | IMPAC SECURED ASSETS CORP. IMSA 2007 2 1A1C                | CUSIP: 452570AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9658223 | PA      | $8303351.26     | 0.00%             | 2037-05-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3A          | CUSIP: 46628SAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4769673 | PA      | $1262784.80     | 0.00%             | 2036-07-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B R 144A           | CUSIP: 78450CAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5989274 | PA      | $7946709.94     | 0.00%             | 2052-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-2                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 2 A2             | CUSIP: 64352VFX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        80929 | PA      | $81693.81       | 0.00%             | 2034-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625           | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    350800000 | PA      | $245560000.00   | 0.12%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1011714.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P1 A3 144A       | CUSIP: 14688EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5534796 | PA      | $5554702.64     | 0.00%             | 2027-12-10      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-15175.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1H1396 FH 05/37 FLOATING VAR             | CUSIP: 3128NGGD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          771 | PA      | $795.62         | 0.00%             | 2037-05-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5538 FN 03/47 FIXED 4                          | CUSIP: 3140FREL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4973 | PA      | $4779.30        | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CANADA SQUARE FUNDING 2021-1 PLC 21-1                                            | CANADA SQUARE FUNDING CSF 2021 1 A REGS                    | CUSIP: ACI1W5667<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1040279 | PA      | $1400321.11     | 0.00%             | 2058-06-17      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2001-B                                                        | CENTEX HOME EQUITY CXHE 2001 B A7                          | CUSIP: 152314DR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32763 | PA      | $30427.10       | 0.00%             | 2032-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-J9                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J9 M2            | CUSIP: 12667FUL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1996101 | PA      | $1975765.40     | 0.00%             | 2034-10-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P5                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P5 A4 144A       | CUSIP: 14687RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9100000 | PA      | $9390168.06     | 0.00%             | 2029-11-13      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9282 FN 06/46 FIXED VAR                        | CUSIP: 3138ERJ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32702 | PA      | $31465.18       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA2                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA2 1A1          | CUSIP: 32051GHJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       156711 | PA      | $153619.05      | 0.00%             | 2035-03-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-16782.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP2 SA 144A       | CUSIP: 17332KAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       427875 | PA      | $412125.97      | 0.00%             | 2065-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7782 FN 03/53 FIXED 5.5                        | CUSIP: 3140NCUG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1546141 | PA      | $1566338.73     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIII LTD / PREFERRED TERM SECURITIES XXIII INC        | PREFERRED TERM XXIII SR SECURED 144A 12/36 VAR             | CUSIP: 74043AAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     47149869 | PA      | $45499624.06    | 0.02%             | 2036-12-22      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| TAUPE FUNDING TRUST I 2024-1A                                                    | TAUPE FUNDING TRUST TAUPE 2024 1A A3 144A                  | CUSIP: 876692AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65103500 | PA      | $65332569.92    | 0.03%             | 2031-01-21      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7828 G2 01/52 FIXED 3                       | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87691 | PA      | $78408.22       | 0.00%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.42600 08/01/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $2105869.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES7                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES7 A1A 144A        | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25285987 | PA      | $25365238.29    | 0.01%             | 2044-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2007-1                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2007 1 A2              | CUSIP: 9497EVAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       315487 | PA      | $315842.83      | 0.00%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL5                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL5 SA 144A         | CUSIP: 52474TAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       707734 | PA      | $639376.55      | 0.00%             | 2058-08-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-376.40        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257179 FN 04/28 FIXED 4.5                        | CUSIP: 31371NUC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4555 | PA      | $4550.57        | 0.00%             | 2028-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-57448.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2003-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2003 5 1A1                  | CUSIP: 07386HDD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       105524 | PA      | $103403.87      | 0.00%             | 2033-12-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.59000 07/23/24-2Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $15973923.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UROPA SECURITIES PLC 2007-1                                                      | UROPA SECURITIES PLC UROPA 2007 1 A3B REGS                 | CUSIP: G92958AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2422675 | PA      | $2826733.87     | 0.00%             | 2040-10-10      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA9                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB41          | CUSIP: 761118FM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1587598 | PA      | $1320998.82     | 0.00%             | 2035-08-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-4                                                           | LEHMAN XS TRUST LXS 2005 4 1M1                             | CUSIP: 525221CD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       339681 | PA      | $397858.86      | 0.00%             | 2035-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $735083.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A E 144A               | CUSIP: 193938AF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5266196 | PA      | $5437437.26     | 0.00%             | 2055-05-25      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M5              | CUSIP: 126670LT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15318610 | PA      | $13711563.82    | 0.01%             | 2036-04-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7102 FR 07/28 FIXED 3                  | CUSIP: 3132A73K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50680 | PA      | $50200.37       | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928220 FN 04/37 FIXED 6.5                        | CUSIP: 31412LG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8194 | PA      | $8644.88        | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR2                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR2 1A1           | CUSIP: 45660LY60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1472663 | PA      | $1148280.60     | 0.00%             | 2036-01-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 03/19/25-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $45480262.12    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $13.94          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1             | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2590816 | PA      | $2015172.59     | 0.00%             | 2036-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-8                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 8 A 144A          | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8108766 | PA      | $8145108.25     | 0.00%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A              | CUSIP: ACI0Y9KJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     46014000 | PA      | $62348335.69    | 0.03%             | 2049-12-21      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A R 144A         | CUSIP: 210928AL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55808961 | PA      | $25868374.95    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-13                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 13 3AV3            | CUSIP: 23242EAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9274037 | PA      | $9177172.54     | 0.00%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                                           | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A              | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6903 | PA      | $6868.28        | 0.00%             | 2031-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A2             | CUSIP: 61752UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8027903 | PA      | $4172152.55     | 0.00%             | 2037-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2044 FN 05/47 FIXED 4                          | CUSIP: 3140GQHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8253 | PA      | $7860.47        | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A C 144A                                 | CUSIP: ACI12K0V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     26742000 | PA      | $23050161.79    | 0.01%             | 2045-02-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK9230 FR 01/33 FIXED 3                  | CUSIP: 3131XDHF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1297098 | PA      | $1258054.75     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q56083 FG 05/48 FIXED 3.5                | CUSIP: 3132XYXM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1246380 | PA      | $1155551.52     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2005-AR2                                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR2 2A2A          | CUSIP: 45660LCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       591644 | PA      | $527475.43      | 0.00%             | 2035-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-7                                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 3A1             | CUSIP: 86361BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9971325 | PA      | $7798175.71     | 0.00%             | 2036-08-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3763 FN 05/28 FIXED VAR                        | CUSIP: 3138ELFD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43955 | PA      | $43584.63       | 0.00%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH6676 G2 06/48 FIXED 4                       | CUSIP: 3617H4MZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       405270 | PA      | $383946.56      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/33 6.4              | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      4948000 | PA      | $5321134.07     | 0.00%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.40000 04/09/25-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-337748.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 1T1 1A1          | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2345576 | PA      | $777463.76      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-2479365.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 3A             | CUSIP: 65535VSD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       610797 | PA      | $438449.58      | 0.00%             | 2036-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251103                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $137729.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.85000 08/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2041332.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                                     | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                 | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |      1050140 | PA      | $1008542.69     | 0.00%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 AIOS 144A     | CUSIP: 17329HAP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720815143 | PA      | $3626384.94     | 0.00%             | 2060-10-25      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA12                                             | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA12 1A1         | CUSIP: 32051GQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48494 | PA      | $34456.58       | 0.00%             | 2036-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-3                                              | RIO OIL FINANCE TRUST SR SECURED 144A 01/27 9.75           | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6094781 | PA      | $6319751.89     | 0.00%             | 2027-01-06      | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3304 FN 03/28 FIXED VAR                        | CUSIP: 3138EKU60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39946 | PA      | $39500.11       | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0UIA5 PIMCO FPPSWAPTION 2.18 CALL USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    174900000 | NC      | $4107718.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW8449 FN 09/52 FIXED 4                          | CUSIP: 3140N1L76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        99658 | PA      | $94163.53       | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0U6A8 PIMCO FPPSWAPTION 2.4 CALL USD                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    140900000 | NC      | $894813.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2570 FN 03/26 FIXED 3                          | CUSIP: 31418B2C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          248 | PA      | $246.70         | 0.00%             | 2026-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A4           | CUSIP: 92927XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11317363 | PA      | $9316012.81     | 0.00%             | 2037-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60654 FG 04/46 FIXED 3.5                | CUSIP: 31335AWP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3944 | PA      | $3707.71        | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5626 FN 01/53 FIXED 5.5                        | CUSIP: 3140NAHC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8553516 | PA      | $8662269.16     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR3                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR3 1A1           | CUSIP: 39538RBW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124362 | PA      | $105411.18      | 0.00%             | 2045-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO8238 FN 11/49 FIXED 3.5                        | CUSIP: 3140K4EL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       191462 | PA      | $177219.09      | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6682 FN 09/28 FIXED 3                          | CUSIP: 3138X6M85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       435039 | PA      | $429187.80      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                     | DELOITTE LLP SR UNSEC B                                    | CUSIP: 955GGZII8<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |     36700000 | PA      | $37701942.30    | 0.02%             | 2032-01-30      | Fixed         | 5.41%                 | Yes           |                  3 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-B                                                   | FREMONT HOME LOAN TRUST FHLT 2005 B M6                     | CUSIP: 35729PKA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5257000 | PA      | $4578600.45     | 0.00%             | 2035-04-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A1            | CUSIP: 86364LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       189401 | PA      | $189275.08      | 0.00%             | 2037-08-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2006-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2006 1 A2B            | CUSIP: 64352VQR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6167650 | PA      | $6208138.47     | 0.00%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-WMC3                                              | MASTR ASSET BACKED SECURITIES MABS 2006 WMC3 A4            | CUSIP: 55291KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7869336 | PA      | $2693771.29     | 0.00%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6772 FN 07/53 FIXED 6.5                        | CUSIP: 3140QSQ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       954780 | PA      | $992600.15      | 0.00%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251007                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $250.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20251119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-41.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-76491.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A4            | CUSIP: 86364LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7000000 | PA      | $6964777.40     | 0.00%             | 2037-08-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A              | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6808888 | PA      | $6175929.46     | 0.00%             | 2047-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.54542 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $84752.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR1 1A1           | CUSIP: 86362XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1792277 | PA      | $1617708.32     | 0.00%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 2A4A           | CUSIP: 41161PHC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        54096 | PA      | $52975.34       | 0.00%             | 2034-11-19      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BUCKINGHAM CDO LTD 2006-3A                                                       | BUCKINGHAM CDO LTD BUCK 2006 3A LT 144A                    | CUSIP: 11838WAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    990065348 | PA      | $1831620.89     | 0.00%             | 2051-09-05      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 3A4                 | CUSIP: 466247QA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16177 | PA      | $16218.52       | 0.00%             | 2035-06-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-28CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 28CB A14         | CUSIP: 02147TAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4582788 | PA      | $2224014.23     | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4804 FN 04/45 FIXED 3.5                        | CUSIP: 3138WEKS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        63626 | PA      | $59745.25       | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1855 FN 08/49 FIXED 3                          | CUSIP: 3140JWBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74664994 | PA      | $66943173.21    | 0.03%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENT AUTO RECEIVABLES TRUST 2023-1A                                               | ENT AUTO RECEIVABLES TRUST ENT 2023 1A A4 144A             | CUSIP: 293601AG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4000000 | PA      | $4106869.20     | 0.00%             | 2029-11-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3            | CUSIP: 74923GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1833100 | PA      | $1625773.75     | 0.00%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H21                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H21 AF             | CUSIP: 38376RYX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2596231 | PA      | $2603528.66     | 0.00%             | 2066-09-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-4                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2024 4 A1 144A               | CUSIP: 034943AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30603644 | PA      | $30995706.84    | 0.02%             | 2069-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL6                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL6 B3 144A        | CUSIP: 12654UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410891387 | PA      | $171103268.22   | 0.08%             | 2058-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A2                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A2 1A             | CUSIP: 59020UGT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       294590 | PA      | $289987.60      | 0.00%             | 2034-07-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A3            | CUSIP: 68403FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3575667 | PA      | $2034340.91     | 0.00%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-NQM1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2023 NQM1 SA 144A      | CUSIP: 36267LAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           34 | PA      | $32.16          | 0.00%             | 2063-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08681 FG 12/45 FIXED 3.5                | CUSIP: 3128MJXK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12538 | PA      | $11787.77       | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 4A                                                  | ALESCO PREFERRED FUNDING LTD ALESC 4A A2 144A              | CUSIP: 01448QAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4976580 | PA      | $4653102.40     | 0.00%             | 2034-07-30      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-2                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 5A4C             | CUSIP: 02660TFJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18094757 | PA      | $9912295.27     | 0.00%             | 2035-09-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                               | HOME EQUITY ASSET TRUST HEAT 2002 1 A2                     | CUSIP: 22541NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       128298 | PA      | $120067.14      | 0.00%             | 2032-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                         | FLORA FOOD MANAGEMENT BV SR SECURED 144A 07/29 6.875       | CUSIP: ACI2PNX49<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |     72600000 | PA      | $85377956.96    | 0.04%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV8842 FN 09/44 FIXED 4                          | CUSIP: 3138XLZG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14911 | PA      | $14380.81       | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC7 A3           | CUSIP: 07384YPK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2069117 | PA      | $1620941.40     | 0.00%             | 2034-01-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-3A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 3A A3 144A               | CUSIP: 16144LAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54900000 | PA      | $55667276.91    | 0.03%             | 2029-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251210                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-777733.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-NPL8 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL8 A1 144A      | CUSIP: 69392EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26926630 | PA      | $27014055.79    | 0.01%             | 2055-08-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                             | GSAMP TRUST GSAMP 2007 FM1 A2B                             | CUSIP: 3622MAAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       898742 | PA      | $444950.47      | 0.00%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA6015 FN 03/54 FIXED 6.5                        | CUSIP: 3140A6VH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       431610 | PA      | $448311.58      | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-48107.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG9761 G2 05/48 FIXED 4                       | CUSIP: 3617GUZ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       449586 | PA      | $425787.76      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0336 FN 01/59 FIXED 4                          | CUSIP: 3140FXLS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       375070 | PA      | $356047.36      | 0.00%             | 2059-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4                                      | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A4 1A11           | CUSIP: 12566VAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2736823 | PA      | $2428934.07     | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5908 FN 06/43 FIXED 4                          | CUSIP: 3138WTR65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       201731 | PA      | $196268.46      | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MXN 8.55600 11/21/24-1Y* (WHT) CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $124754.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                           | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A3 144A        | CUSIP: 88164AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8300000 | PA      | $8444003.34     | 0.00%             | 2050-06-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH1                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MV10 144A    | CUSIP: 46630LBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1788498 | PA      | $1918643.59     | 0.00%             | 2036-11-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4                             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 4 A2             | CUSIP: 10806EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10524153 | PA      | $10529752.13    | 0.01%             | 2027-09-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2005-5                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 5 2A2             | CUSIP: 863576AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       717077 | PA      | $691983.36      | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7073 FR 02/53 FIXED 5.5                | CUSIP: 3133BU2E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2264535 | PA      | $2293687.64     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A2A1          | CUSIP: 939336X65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1514918 | PA      | $1505293.48     | 0.00%             | 2045-01-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A B 144A             | CUSIP: 37989AAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13000000 | PA      | $13114311.60    | 0.01%             | 2029-01-16      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 11 2A2                    | CUSIP: 36242DFT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4012 | PA      | $3919.13        | 0.00%             | 2034-09-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 1 LLC/ABILENE DC 2 LLC                                                | PROJECT FLASH DELAYED DRAW TERM LOAN                       | CUSIP: BA000GR85<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    108449978 | PA      | $107499890.04   | 0.05%             | 2030-01-09      | Floating      | 5.43%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55304 FG 04/48 FIXED 3.5                | CUSIP: 3132XX3N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4952273 | PA      | $4606742.65     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-3                                                | VERUS SECURITIZATION TRUST VERUS 2024 3 A1 144A            | CUSIP: 92540MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20038300 | PA      | $20332309.70    | 0.01%             | 2069-04-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-76287.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                                               | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5            | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5487871 | PA      | $4579879.64     | 0.00%             | 2047-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-1 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2025 1 A2 144A          | CUSIP: 29390HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19800000 | PA      | $19894410.36    | 0.01%             | 2027-10-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1653645.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 B 144A       | CUSIP: 36265TAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27885296 | PA      | $19200766.63    | 0.01%             | 2061-06-25      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1                    | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1129181 | PA      | $642679.98      | 0.00%             | 2035-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED REGS 07/33 1.985                    | CUSIP: ACI1Z3QS9<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     26300000 | PA      | $27133723.02    | 0.01%             | 2033-07-13      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2002-21A                                         | STRUCTURED ASSET SECURITIES CO SASC 2002 21A 1A3           | CUSIP: 86359ABR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32420 | PA      | $32681.68       | 0.00%             | 2032-11-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW4965 FN 02/53 FIXED 6                          | CUSIP: 3140MWQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6895327 | PA      | $7083991.34     | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8710 FN 07/29 FIXED VAR                        | CUSIP: 3138ETVC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          243 | PA      | $241.23         | 0.00%             | 2029-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 3A3                 | CUSIP: 466247K36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       474942 | PA      | $414997.91      | 0.00%             | 2036-04-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175ET223 PIMCO FLOOR USD 0.02224 USD SOFR COM             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -605500000 | NC      | $-56977.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 4A1                    | CUSIP: 12669GUR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       950084 | PA      | $909056.44      | 0.00%             | 2035-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 1A1            | CUSIP: 68403KAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       820765 | PA      | $734965.75      | 0.00%             | 2037-07-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9427 FN 03/53 FIXED 5.5                        | CUSIP: 3140NEPM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1238307 | PA      | $1257924.45     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7119 FN 05/46 FIXED 3.5                        | CUSIP: 3140F24D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11983 | PA      | $11517.42       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                                       | GUGGENHEIM CLO LTD GUGG 2022 2A A1R 144A                   | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     54500000 | PA      | $54532700.00    | 0.03%             | 2035-01-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-5                                                     | LEHMAN MORTGAGE TRUST LMT 2007 5 5A1                       | CUSIP: 52521RBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6433087 | PA      | $1444304.59     | 0.00%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-1A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 1A A3 144A       | CUSIP: 96043RAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11125744 | PA      | $11143504.70    | 0.01%             | 2027-05-17      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A1            | CUSIP: 74922QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2321249 | PA      | $2146917.36     | 0.00%             | 2036-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 15 A7                     | CUSIP: 12669GR37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        96063 | PA      | $49005.15       | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC                  | UNITI GROUP/CSL CAPITAL SR SECURED 144A 02/28 10.5         | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10179000 | PA      | $10726884.68    | 0.01%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2145 FN 01/45 FIXED 4                          | CUSIP: 31418BL38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8321008 | PA      | $8020949.57     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                         | FANNIE MAE FNR 2013 6 JS                                   | CUSIP: 3136ABN25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1870369 | PA      | $220861.59      | 0.00%             | 2043-02-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2209 FN 08/48 FIXED 4.5                        | CUSIP: 3140Q9N33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1476973 | PA      | $1457616.55     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A14            | CUSIP: 74958YAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       513628 | PA      | $396436.41      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN GENERAL MORTGAGE LOAN TRUST 2009-1                                      | AMERICAN GENERAL MORTGAGE LOAN AGFMT 2009 1 CE 144A        | CUSIP: 02640CAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109086505 | PA      | $95487006.36    | 0.05%             | 2048-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $313110.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2020-B18                                               | BENCHMARK MORTGAGE TRUST BMARK 2020 B18 XA                 | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84534693 | PA      | $4418450.91     | 0.00%             | 2053-07-15      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP BRC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $183529.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA C 144A                       | CUSIP: ACI2N0N18<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     44096000 | PA      | $59229263.28    | 0.03%             | 2054-05-28      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G06500 FG 04/41 FIXED 4                  | CUSIP: 3128M8RV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       300919 | PA      | $293683.81      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A         | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       973303 | PA      | $902447.62      | 0.00%             | 2035-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2007-RZ1                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2007 RZ1 M1S           | CUSIP: 74923PAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13613000 | PA      | $13063327.48    | 0.01%             | 2037-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6634 FN 01/53 FIXED 6                          | CUSIP: 3140NBLQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1682166 | PA      | $1724920.47     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2007-1                                              | MASTR SPECIALIZED LOAN TRUST MASD 2007 1 A 144A            | CUSIP: 57645KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9133001 | PA      | $3569059.87     | 0.00%             | 2037-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0061 FN 07/47 FIXED 3.5                        | CUSIP: 3140Q7B71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17773 | PA      | $16560.18       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5023 FR 11/39 FIXED 3.5                | CUSIP: 3133KYSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       203218 | PA      | $195000.25      | 0.00%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.42000 07/31/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $5169336.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 3A1           | CUSIP: 933634AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5599713 | PA      | $5004142.56     | 0.00%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1589 FN 09/49 FIXED VAR                        | CUSIP: 3140X4XT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        99300 | PA      | $91819.36       | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                                           | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A3 144A        | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19271740 | PA      | $19406198.44    | 0.01%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251117                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-649532.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 1A2             | CUSIP: 05946XHW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        95841 | PA      | $80069.22       | 0.00%             | 2034-12-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8258 FR 10/52 FIXED 5                  | CUSIP: 3132DWE74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1822280 | PA      | $1817105.23     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-680121.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.24000 09/16/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1557975.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72136 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-669473.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6930 FR 02/53 FIXED 5.5                | CUSIP: 3133BUVX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1342901 | PA      | $1359808.49     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5109 FN 08/53 FIXED 6.5                        | CUSIP: 31418EVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2865143 | PA      | $2963496.10     | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A      | CUSIP: 17312EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24790519 | PA      | $22676963.80    | 0.01%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS7 1A3           | CUSIP: 74923WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       749601 | PA      | $628100.50      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 05/27 5.04                          | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    125660000 | PA      | $127049117.27   | 0.06%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF2                                               | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF2 A2            | CUSIP: 57645TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21028001 | PA      | $8315342.32     | 0.00%             | 2037-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5798 FN 07/47 FIXED 4                          | CUSIP: 3140GUNQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       584857 | PA      | $562308.52      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003293 G2 07/32 FIXED 4.5                     | CUSIP: 36202DUS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          198 | PA      | $196.61         | 0.00%             | 2032-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD2556 FN 02/55 FIXED 7                          | CUSIP: 3140B2ZW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6113849 | PA      | $6414138.62     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                              | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A B 144A        | CUSIP: 03331MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     23500000 | PA      | $23624265.65    | 0.01%             | 2040-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHSTA 1A Y                                                 | CUSIP: 964DHA907<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         8950 | PA      | $45557333.21    | 0.02%             | 2046-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1BG          | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4015251 | PA      | $3562690.38     | 0.00%             | 2036-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-273071.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO3552 FN 06/42 FIXED 4                          | CUSIP: 3138LT5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       253978 | PA      | $245854.01      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251028                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $16520.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2597 FN 08/47 FIXED 4                          | CUSIP: 3140GQ3F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       386263 | PA      | $371591.61      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 06/31 8.375         | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     53075000 | PA      | $55764592.08    | 0.03%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| MNSN HOLDINGS INC                                                                | MNSN HOLDINGS INC COMMON STOCK                             | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          438 | NS      | $26280.00       | 0.00%             |  |  |  | Yes           |                  1 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 2A1                   | CUSIP: 36242DH71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20643 | PA      | $19607.71       | 0.00%             | 2035-04-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG37 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $28759.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3558 FN 01/34 FIXED 3                          | CUSIP: 31418C5U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44989 | PA      | $43771.48       | 0.00%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SSB MANUFACTURING COMPANY                                                        | SSB MANUFACTURING COMPANY SSB EQUIPMENT COMPANY, INC.      | CUSIP: 902JPT909<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         1460 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7558 FN 11/52 FIXED 6                          | CUSIP: 3140MMMG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       820040 | PA      | $841324.45      | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.93300 01/06/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2548321.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5632 FN 02/48 FIXED 4                          | CUSIP: 3140H7HJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       589332 | PA      | $570475.28      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                              | SPACE COAST CREDIT UNION SCCU 2023 1A A4 144A              | CUSIP: 805922AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12200000 | PA      | $12520049.92    | 0.01%             | 2029-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M1             | CUSIP: 57643LNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1400964 | PA      | $1403356.22     | 0.00%             | 2036-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-KS9                                              | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS9 AI4           | CUSIP: 75406YAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58889980 | PA      | $51506914.02    | 0.03%             | 2036-11-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD5414 FN 11/31 FIXED 2                          | CUSIP: 3140FDAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10138 | PA      | $9681.49        | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.37500 10/15/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3277230.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-284207.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR30                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR30 2A1          | CUSIP: 22541Q2A9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        52362 | PA      | $50802.98       | 0.00%             | 2034-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2078 FN 11/44 FIXED 4                          | CUSIP: 31418BJY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1183407 | PA      | $1141100.86     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A5           | CUSIP: 93364EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13061070 | PA      | $11637687.28    | 0.01%             | 2037-05-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-1 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2025 1 A3 144A          | CUSIP: 29390HAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17800000 | PA      | $18095417.70    | 0.01%             | 2029-02-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES2                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES2 A1A 144A          | CUSIP: 89182JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17354704 | PA      | $17547502.35    | 0.01%             | 2064-02-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA2908 FR 09/49 FIXED 3.5                | CUSIP: 31339SGR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11796904 | PA      | $10909509.59    | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4004 FN 09/47 FIXED 4                          | CUSIP: 3140GSNW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3604 | PA      | $3467.24        | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ4091 FN 10/26 FIXED 3.5                        | CUSIP: 3138AVRM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26203 | PA      | $26058.67       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                                               | PRP ADVISORS, LLC PRPM 2025 RCF3 A1 144A                   | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11083485 | PA      | $11168171.67    | 0.01%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CONSTELLATION OIL D SHS WARRNT WARRYU9O1                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |            3 | NC      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/12/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5311842.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF1                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF1 M2             | CUSIP: 32027NQM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       334419 | PA      | $370989.88      | 0.00%             | 2034-12-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1          | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       820545 | PA      | $377239.54      | 0.00%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-2                                              | RBSSP RESECURITIZATION TRUST RBSSP 2010 2 3A2 144A         | CUSIP: 74929CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9676426 | PA      | $9266789.34     | 0.00%             | 2036-12-26      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 X 144A        | CUSIP: 17330EAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    970466780 | PA      | $87014962.94    | 0.04%             | 2061-08-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.08500 04/22/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3850758.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     50661000 | PA      | $48718896.38    | 0.02%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0UHA6 PIMCO FPPSWAPTION 2.18 PUT USD                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    285300000 | NC      | $77717117.97    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS12                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS12 A7           | CUSIP: 761118DU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14446 | PA      | $12719.59       | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1776 FN 10/34 FIXED VAR                        | CUSIP: 3140X46N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2738 | PA      | $2662.76        | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST  2025-2A                               | GOODLEAP HOME IMPROVEMENT SOLU GDLP 2025 2A A 144A         | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48698529 | PA      | $49290941.80    | 0.02%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 4A1           | CUSIP: 161630AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10259 | PA      | $10317.58       | 0.00%             | 2037-02-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-5                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 5 1A1            | CUSIP: 07386YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       676919 | PA      | $593859.07      | 0.00%             | 2047-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2003-58                                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2003 58 LB              | CUSIP: 38374BNS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79477 | PA      | $79254.06       | 0.00%             | 2033-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $178356.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                                 | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR               | CUSIP: 45833UAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     16150000 | PA      | $17733507.50    | 0.01%             | 2026-06-08      | Floating      | 21.20%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A R 144A         | CUSIP: 21055PAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55631874 | PA      | $25225616.69    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 A1 144A        | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20876177 | PA      | $19003876.11    | 0.01%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-3                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 3 8A4             | CUSIP: 576433LK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        87927 | PA      | $84847.76       | 0.00%             | 2034-05-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-5                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2A2             | CUSIP: 161546GR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5546 | PA      | $5596.91        | 0.00%             | 2033-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-BC6                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 BC6 A5            | CUSIP: 86362VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4620233 | PA      | $4369169.65     | 0.00%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A4            | CUSIP: 54251TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20944721 | PA      | $8380261.37     | 0.00%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSAA TRUST 2006-15                                                               | GSAA HOME EQUITY TRUST GSAA 2006 15 AF5                    | CUSIP: 3622E8AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8775053 | PA      | $2202227.68     | 0.00%             | 2036-09-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH9585 FN 11/26 FIXED 3                          | CUSIP: 3138ABUK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31775 | PA      | $31495.23       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2003-2                                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2003 2 A2              | CUSIP: 83611MAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10520 | PA      | $12997.32       | 0.00%             | 2033-11-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 2B1 144A       | CUSIP: 12597GAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57175750 | PA      | $58298201.45    | 0.03%             | 2059-09-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7532 FN 11/27 FIXED VAR                        | CUSIP: 3138EQLN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18031 | PA      | $17854.32       | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A E 144A          | CUSIP: 21050QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9098000 | PA      | $9279550.59     | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                                  | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 04/34 8.625     | CUSIP: 368266AA0<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |    111630000 | PA      | $97676250.00    | 0.05%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                   | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7574 | PA      | $6613.52        | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 9.87397 08/03/23-01/02/26 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-6630984.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8009 FN 10/31 FIXED 2.5                        | CUSIP: 3138WH3T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       258030 | PA      | $249416.38      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE FUNDING LTD 2005-HG3A                                                       | DUKE FUNDING LTD DUKEF 2005 HG3A A1 144A                   | CUSIP: 2644EPAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    285268979 | PA      | $2318095.72     | 0.00%             | 2049-08-02      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-GEL1                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 GEL1 A3 144A      | CUSIP: 86362QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11915197 | PA      | $9920548.69     | 0.00%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1H1343 FH 08/36 FLOATING VAR             | CUSIP: 3128NGEQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          164 | PA      | $169.09         | 0.00%             | 2036-08-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                    | RMAC SECURITIES PLC RMACS 2007 NS1X A2B REGS               | CUSIP: B231LDII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     16584865 | PA      | $16220263.40    | 0.01%             | 2044-06-12      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260707                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $22012.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1575 FN 02/48 FIXED 3.5                        | CUSIP: 3140H2XD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       883178 | PA      | $825841.63      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.08000 02/23/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-8715006.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                                             | EUROSAIL PLC ESAIL 2007 1X B1C REGS                        | CUSIP: B1TQVJII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9287396 | PA      | $12403481.78    | 0.01%             | 2045-03-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0022 G2 11/54 FIXED 3.5                     | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47669877 | PA      | $43506438.68    | 0.02%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR25                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR25 3A1          | CUSIP: 45661HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55315 | PA      | $35470.96       | 0.00%             | 2036-09-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 2A2          | CUSIP: 32056JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       617303 | PA      | $445597.34      | 0.00%             | 2037-11-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6481677.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A F 144A                          | CUSIP: ACI2M1B51<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     55585000 | PA      | $75934993.32    | 0.04%             | 2035-06-21      | Floating      | 11.47%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 780481 FH 05/33 FLOATING VAR             | CUSIP: 31342ARA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3013 | PA      | $3082.63        | 0.00%             | 2033-05-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2535 FN 02/46 FIXED 4.5                        | CUSIP: 31418BY91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11164 | PA      | $11086.88       | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A5CB                                            | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A5CB A2           | CUSIP: 76112FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5901940 | PA      | $1568760.42     | 0.00%             | 2036-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.45000 10/11/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2538170.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL1                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL1 A1 144A     | CUSIP: 16159LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36463403 | PA      | $33829713.42    | 0.02%             | 2062-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972135 FH 09/33 FLOATING VAR             | CUSIP: 31336CLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18327 | PA      | $18783.90       | 0.00%             | 2033-09-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4743 FR 11/47 FIXED 3.5                | CUSIP: 3132A5HU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81045 | PA      | $75569.91       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1                                  | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2024 1 A2B            | CUSIP: 023947AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10668242 | PA      | $10671950.59    | 0.01%             | 2028-02-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2960 G2 07/45 FIXED 3                       | CUSIP: 36179RJD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       157425 | PA      | $143028.05      | 0.00%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4225 FN 01/42 FIXED 3.5                        | CUSIP: 31417AVT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13829 | PA      | $13165.60       | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 2A1            | CUSIP: 05949CPG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       976480 | PA      | $893450.32      | 0.00%             | 2036-01-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1           | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       553710 | PA      | $305335.35      | 0.00%             | 2036-05-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-3                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 3 M6               | CUSIP: 29445FCC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       755652 | PA      | $739052.69      | 0.00%             | 2034-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR13                                                         | BCAP LLC TRUST BCAP 2009 RR13 20A2 144A                    | CUSIP: 05532KAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       722481 | PA      | $636107.54      | 0.00%             | 2037-06-26      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH4717 FN 04/26 FIXED 4                          | CUSIP: 3138A6G38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1103 | PA      | $1098.90        | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5480 FR 06/53 FIXED 5                  | CUSIP: 3133C6CR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       133824 | PA      | $133278.28      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR5                                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR5 1A1            | CUSIP: 07401NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2502131 | PA      | $2263038.32     | 0.00%             | 2046-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                      | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    172089127 | PA      | $88452383.04    | 0.04%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-AB2                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 AB2 M3             | CUSIP: 126673QH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       255722 | PA      | $252256.23      | 0.00%             | 2036-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A5             | CUSIP: 55275BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6216343 | PA      | $2198513.43     | 0.00%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FINANCE AMERICA MORTGAGE LOAN TR 2003-1                                          | FINANCE AMERICA MORTGAGE LOAN FINA 2003 1 M1               | CUSIP: 317350AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        65534 | PA      | $65623.51       | 0.00%             | 2033-09-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $105667.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-1                                          | THORNBURG MORTGAGE SECURITIES TMST 2004 1 II2A             | CUSIP: 885220EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       833234 | PA      | $816440.40      | 0.00%             | 2044-03-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| NRPL-2024-RPL2                                                                   | NRPL TRUST SERIES NRPL 2024 RPL2 PT 144A                   | CUSIP: 62956GAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161407110 | PA      | $138319727.95   | 0.07%             | 2063-09-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX3780 FR 01/55 FIXED 7                  | CUSIP: 31425YFW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       935706 | PA      | $979728.94      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2007-QS8                                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS8 A9            | CUSIP: 74922UAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2800006 | PA      | $2182430.56     | 0.00%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4941 FN 03/53 FIXED 5.5                        | CUSIP: 31418EP38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10177810 | PA      | $10311003.70    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                                  | HOUT BAY HOUT 2006 1A B 144A                               | CUSIP: 442451AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4046106 | PA      | $404.61         | 0.00%             | 2041-07-05      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                              | CAPE LOOKOUT RE LTD UNSECURED 144A 04/27 VAR               | CUSIP: 13947LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      9550000 | PA      | $9979750.00     | 0.00%             | 2027-04-05      | Floating      | 12.64%                | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-2                                            | CONSECO FINANCE SECURITIZATION CNF 2000 2 A5               | CUSIP: 20846QCQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1831206 | PA      | $220137.47      | 0.00%             | 2030-12-01      | Fixed         | 8.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1937 FN 12/25 FIXED 3.5                        | CUSIP: 31416XEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3472 | PA      | $3460.19        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2024-1A                       | GMF CANADA LEASING TRUST GCOLT 2024 1A A3 144A             | CUSIP: 36252MDG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     23700000 | PA      | $17225542.14    | 0.01%             | 2029-08-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 5A                                                  | ALESCO PREFERRED FUNDING LTD ALESC 5A COM1 144A            | CUSIP: 01448VAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3250209 | PA      | $2706812.84     | 0.00%             | 2034-12-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1114 FN 04/47 FIXED VAR                        | CUSIP: 3140J5GY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        86917 | PA      | $83630.03       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9847 G2 08/54 FIXED 3.5                     | CUSIP: 36179Y5G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1448032 | PA      | $1323499.70     | 0.00%             | 2054-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2025-INV4                                     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 INV4 A1           | CUSIP: 26846DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22800000 | PA      | $22838757.72    | 0.01%             | 2070-10-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50948 FG 09/47 FIXED 4                  | CUSIP: 3132XTBS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5096651 | PA      | $4933354.87     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3.5 JUMBOS                               | CUSIP: 21H0326A3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -558307262 | PA      | $-509136331.89  | -0.25%            | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.51042 09/03/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $288566.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-9395721.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46412 FG 03/47 FIXED 4                  | CUSIP: 3132WLDS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1149682 | PA      | $1107302.93     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS7                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS7 M1            | CUSIP: 75406XAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       897111 | PA      | $890048.13      | 0.00%             | 2036-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2024-3                                     | GM FINANCIAL AUTOMOBILE LEASIN GMALT 2024 3 A3             | CUSIP: 38012QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36300000 | PA      | $36374872.38    | 0.02%             | 2027-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1057 FN 01/48 FIXED 4                          | CUSIP: 3140Q8E76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12512828 | PA      | $12033658.81    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-28.54         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $377841.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 2A1                   | CUSIP: 362341FH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       918597 | PA      | $470071.87      | 0.00%             | 2035-07-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-AR1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 AR1 1A           | CUSIP: 12668A4P7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4336765 | PA      | $3938542.33     | 0.00%             | 2035-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-1                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 1 5A4               | CUSIP: 126378BC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1514493 | PA      | $822463.21      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3267                                                                 | FREDDIE MAC FHR 3267 SI                                    | CUSIP: 31397ERL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       343090 | PA      | $34491.83       | 0.00%             | 2037-01-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL4 TRUST                                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL4 A1 144A      | CUSIP: 740943AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121700000 | PA      | $118436691.17   | 0.06%             | 2065-03-25      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| OWNIT MORTGAGE LOAN TRUST SERIES 2006-5                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 5 A2D            | CUSIP: 69121EAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6230885 | PA      | $5713412.17     | 0.00%             | 2037-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2256                                                                 | FREDDIE MAC FHR 2256 MC                                    | CUSIP: 3133TPS67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3062 | PA      | $3187.65        | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4219 FR 12/35 FIXED 6.5                | CUSIP: 3132A4VL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          474 | PA      | $494.15         | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5963 FN 01/38 FIXED VAR                        | CUSIP: 3140JATV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4420723 | PA      | $4380221.03     | 0.00%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1571 FN 09/43 FIXED 4                          | CUSIP: 31418AW95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43633 | PA      | $42429.13       | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                                          | RIPON MORTGAGES PLC RIPON 1RA Y 144A                       | CUSIP: ACI23MMX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7125000 | PA      | $265854.35      | 0.00%             | 2056-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ0005 FR 10/53 FIXED 6.5                | CUSIP: 3142GQAF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3983277 | PA      | $4120358.88     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING IX LTD 9A                                               | ALESCO PREFERRED FUNDING LTD ALESC 9A A1 144A              | CUSIP: 01449TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9199126 | PA      | $9015143.01     | 0.00%             | 2036-06-23      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| NRZT 2019-5A                                                                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 5A B2 144A         | CUSIP: 64830MCA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22609124 | PA      | $21916206.84    | 0.01%             | 2059-08-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323862 FN 08/29 FIXED VAR                        | CUSIP: 31374TWX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          486 | PA      | $501.48         | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-9                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 9 M1              | CUSIP: 86358EYF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8478109 | PA      | $8342712.34     | 0.00%             | 2035-11-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8703 FN 11/25 FIXED 3.5                        | CUSIP: 31419KU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6433 | PA      | $6412.01        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20300509                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $339412.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1            | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17267532 | PA      | $11188873.60    | 0.01%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-57543368.97   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P1 A3 144A       | CUSIP: 14688NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15800000 | PA      | $15898617.28    | 0.01%             | 2029-04-10      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| OZLM XIX LTD 2017-17A                                                            | OZLM LTD OZLM 2017 17A A1RR 144A                           | CUSIP: 67111NAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1360495 | PA      | $1361176.73     | 0.00%             | 2030-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2023-C                                                | CPS AUTO TRUST CPS 2023 C C 144A                           | CUSIP: 223928AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31500000 | PA      | $31748346.00    | 0.02%             | 2029-10-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20251001                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-4497.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-12                                                               | FANNIE MAE FNR 2009 12 DI                                  | CUSIP: 31397NKC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       264953 | PA      | $29983.37       | 0.00%             | 2037-06-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4980 FN 04/53 FIXED 6                          | CUSIP: 31418ERA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       902471 | PA      | $927544.95      | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1                  | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5960190 | PA      | $5487463.70     | 0.00%             | 2046-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-4                                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 4A A2 144A        | CUSIP: 36271BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27429968 | PA      | $27509594.83    | 0.01%             | 2029-12-17      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC7                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC7 1A           | CUSIP: 23243VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3426050 | PA      | $3399064.96     | 0.00%             | 2046-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q41489 FG 07/46 FIXED 3                  | CUSIP: 3132WEUP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1237797 | PA      | $1120741.79     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A              | CUSIP: 12667HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9075934 | PA      | $8852281.30     | 0.00%             | 2047-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE2                                              | HSI ASSET SECURITIZATION CORPO HASC 2007 HE2 2A2           | CUSIP: 40430RAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13513540 | PA      | $6767911.88     | 0.00%             | 2037-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2014-11R                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 11R 10A2 144A       | CUSIP: 12649FCU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7083724 | PA      | $6340427.39     | 0.00%             | 2037-05-27      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM8628 FR 10/48 FIXED 3.5                | CUSIP: 3131Y3SR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75019 | PA      | $69276.59       | 0.00%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 1 A7                      | CUSIP: 170255AR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       476449 | PA      | $209213.26      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1880 FN 02/45 FIXED VAR                        | CUSIP: 3140J6CS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17183 | PA      | $16646.40       | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-996099.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S2 2A16                | CUSIP: 466247VJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       121896 | PA      | $74330.66       | 0.00%             | 2035-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3363239.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                                                | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL10 A 144A        | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     54262317 | PA      | $54335593.61    | 0.03%             | 2037-09-17      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.41000 08/07/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1071472.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA B 144A                       | CUSIP: ACI2QV533<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     45040000 | PA      | $60447053.98    | 0.03%             | 2055-05-28      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXI LTD 2021-31A                                               | BLUEMOUNTAIN CLO LTD BLUEM 2021 31A A1 144A                | CUSIP: 09631BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7000000 | PA      | $7008598.24     | 0.00%             | 2034-04-19      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE1 A4                | CUSIP: 61746REV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4201977 | PA      | $4306272.42     | 0.00%             | 2034-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR2699 FN 02/51 FIXED 2.5                        | CUSIP: 3140L07M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6946517 | PA      | $5907109.53     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-362                                                             | FREDDIEMAC STRIP FHS 362 C5                                | CUSIP: 31325W4Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18901683 | PA      | $2872001.92     | 0.00%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-843.93        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-7                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 7 1A5            | CUSIP: 93934FBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       285604 | PA      | $248543.17      | 0.00%             | 2035-09-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS F 144A                   | CUSIP: 90137LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17113000 | PA      | $15487265.00    | 0.01%             | 2035-05-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3369 FN 01/48 FIXED VAR                        | CUSIP: 3140J7W76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75518 | PA      | $72618.48       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROJECT PANAMA SPV LIMITED LIABILITY CO                                          | PROJECT PANAMA SPV LLC 01/29 1                             | CUSIP: 74290GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174657000 | PA      | $175569940.87   | 0.09%             | 2029-01-03      | Floating      | 7.63%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO3051 FN 07/34 FIXED 3                          | CUSIP: 3140JXL97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       108456 | PA      | $105394.54      | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A                                       | OCTAGON INVESTMENT PARTNERS 39 OCT39 2018 3A AR 144A       | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     29183201 | PA      | $29205454.93    | 0.01%             | 2030-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3.5 JUMBOS                               | CUSIP: 21H0326B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22000000 | PA      | $20057271.96    | 0.01%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.07100 01/15/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3995422.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $114842.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.30000 09/25/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $66518.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $7833782.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $694160.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC  / SPRINT SPECTRUM CO III LLC | SPRINT SPECTRUM / SPEC I SR SECURED 144A 09/29 5.152       | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15532500 | PA      | $15594231.59    | 0.01%             | 2029-09-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2004-HE8                                              | MORGAN STANLEY CAPITAL INC MSAC 2004 HE8 A7                | CUSIP: 61744CGZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       323170 | PA      | $340035.49      | 0.00%             | 2034-09-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2005-1                                                           | FIRST NLC TRUST FNLC 2005 1 M6                             | CUSIP: 32113JAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       986929 | PA      | $9.87           | 0.00%             | 2035-05-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2004-AC5                                            | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC5 A1           | CUSIP: 073879GM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1603421 | PA      | $1554001.17     | 0.00%             | 2034-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0823 FN 04/46 FIXED 3.5                        | CUSIP: 3140EU4H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        90140 | PA      | $84493.71       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED 144A 01/30 2.085                    | CUSIP: ACI22XZ08<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     27600000 | PA      | $31062452.13    | 0.02%             | 2030-01-19      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $-2959.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A7                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A7 2A4R                | CUSIP: 46629DAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       224855 | PA      | $180835.94      | 0.00%             | 2037-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535811 FN 04/31 FIXED VAR                        | CUSIP: 31384WGU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          769 | PA      | $794.62         | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A2            | CUSIP: 68402BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2067757 | PA      | $1014814.78     | 0.00%             | 2037-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3471                                                          | FREDDIE MAC FHR 3471 Z                                     | CUSIP: 31397WW68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       954665 | PA      | $974046.31      | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-3                                                     | LEHMAN MORTGAGE TRUST LMT 2005 3 4A1                       | CUSIP: 52520MEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       606248 | PA      | $584355.22      | 0.00%             | 2036-01-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-OPT1                                            | MASTR ASSET BACKED SECURITIES MABS 2005 OPT1 M4            | CUSIP: 57643LHS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7579599 | PA      | $7172914.53     | 0.00%             | 2035-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-W3                                                | STRUCTURED ASSET SECURITIES CO SASC 2006 WF3 M2            | CUSIP: 86361EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46322572 | PA      | $45346059.95    | 0.02%             | 2036-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 790044 FN 08/34 FIXED 6                          | CUSIP: 31405HWD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        63451 | PA      | $66070.06       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-34A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 34A 6A            | CUSIP: 86359A5V1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       150589 | PA      | $152540.86      | 0.00%             | 2033-11-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 931133 FN 05/39 FIXED 4.5                        | CUSIP: 31412PPS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8589993 | PA      | $8668342.89     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG38 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $202428.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0326B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1063865000 | PA      | $971821666.23   | 0.48%             | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                      | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   5099000000 | PA      | $30045431.25    | 0.01%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2012-1R                                            | NOMURA RESECURITIZATION TRUST NMRR 2012 1R B 144A          | CUSIP: 65539WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83223815 | PA      | $66496726.68    | 0.03%             | 2047-08-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A A1 144A        | CUSIP: 21056DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12279168 | PA      | $12331627.19    | 0.01%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA Z                            | CUSIP: ACI2N0NQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     25623000 | PA      | $30133585.33    | 0.01%             | 2054-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                                           | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A             | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     76700000 | PA      | $76826056.45    | 0.04%             | 2034-10-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-951668.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO 24-2A          | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 2A A 144A        | CUSIP: ACI2Q3MV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    102043837 | PA      | $119648684.45   | 0.06%             | 2034-05-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED CTFS 2006-HE3                                     | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE3 2A4          | CUSIP: 93934MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8137692 | PA      | $5260328.80     | 0.00%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM, INC. 2023 TERM LOAN J                           | CUSIP: 89364MCA0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     76770902 | PA      | $76819651.12    | 0.04%             | 2031-02-14      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 11/33 VAR                        | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      7648000 | PA      | $8777960.72     | 0.00%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B A1B 144A         | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    337884058 | PA      | $345075953.99   | 0.17%             | 2056-10-16      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX S A COMMON STOCK                          | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |        35559 | NS      | $770445.01      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | CDX EM39 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $28080.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-6                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 6 A1             | CUSIP: 02150AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1589046 | PA      | $815560.57      | 0.00%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SI2002 FR 03/48 FIXED 4                  | CUSIP: 3133USGK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       332595 | PA      | $319796.06      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.23000 10/23/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2228011.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2008-R3                                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R3 3A3 144A      | CUSIP: 466308AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7835000 | PA      | $636664.27      | 0.00%             | 2037-05-26      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL2 PT 144A      | CUSIP: 362961AR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503061795 | PA      | $448214527.36   | 0.22%             | 2065-06-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-98                                                               | FANNIE MAE FNR 2009 98 DZ                                  | CUSIP: 31398GGT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       242315 | PA      | $241664.22      | 0.00%             | 2039-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-6                                                | VERUS SECURITIZATION TRUST VERUS 2023 6 A1 144A            | CUSIP: 92539XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45433180 | PA      | $45988409.50    | 0.02%             | 2068-09-25      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE7                                                     | ACE SECURITIES CORP. ACE 2005 HE7 M1                       | CUSIP: 004421UC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       232759 | PA      | $253389.71      | 0.00%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2003-H                                               | MLCC MORTGAGE INVESTORS INC MLCC 2003 H A3B                | CUSIP: 5899296V5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1043916 | PA      | $1026285.71     | 0.00%             | 2029-01-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/31 6.388                     | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     28100000 | PA      | $30618763.45    | 0.02%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 839304 FN 09/35 FIXED 6                          | CUSIP: 31407SNV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4851 | PA      | $5050.13        | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.57226 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-14832.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                          | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 CERT 144A     | CUSIP: 69546YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8512500 | PA      | $4659018.51     | 0.00%             | 2032-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| EUCALYPTUS MORTGAGES 2022 LIMITED                                                | EUCALYPTUS MORTGAGES 2022 10/50 1                          | CUSIP: ACI279P56<br>LEI: 213800ATDA13Y12ASJ14 | Long             | DBT              | CORP              | GB        |    114438103 | PA      | $96800500.20    | 0.05%             | 2050-10-24      | Floating      | 1.00%                 | No            |                  3 | On Loan: No      |
| CREDIT-BASED ASSET SERVC SEC 2005-CB8                                            | CREDIT BASED ASSET SERVICING A CBASS 2005 CB8 AF4          | CUSIP: 12489WQF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6475783 | PA      | $6381334.82     | 0.00%             | 2035-12-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52093 FG 11/47 FIXED 3.5                | CUSIP: 3132XUKF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1298367 | PA      | $1212135.80     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-2                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 2 2A1              | CUSIP: 02660XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13615151 | PA      | $12993871.12    | 0.01%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP4 PT 144A       | CUSIP: 17332EAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504829025 | PA      | $430748697.14   | 0.21%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080335 G2 10/29 FLOATING VAR                  | CUSIP: 36225CLR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13656 | PA      | $13710.82       | 0.00%             | 2029-10-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE THREE LLC                                                     | GOODMAN US FIN THREE COMPANY GUAR 144A 03/28 3.7           | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     26267000 | PA      | $25924351.19    | 0.01%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD5222 FN 05/30 FIXED 4.5                        | CUSIP: 31418SYU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5307 | PA      | $5328.34        | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S1                                                              | GSAMP TRUST GSAMP 2006 S1 A2A                              | CUSIP: 3623413A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       179078 | PA      | $13350.03       | 0.00%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| ASCENT EDUCATION FUNDING TRUST 2024-A                                            | ASCENT EDUCATION FUNDING TRUST ASCNT 2024 A A 144A         | CUSIP: 04362VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10810645 | PA      | $11091921.03    | 0.01%             | 2050-10-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-16                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 16 2A3             | CUSIP: 23242FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12148824 | PA      | $11789791.21    | 0.01%             | 2046-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A2D           | CUSIP: 32029AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10479791 | PA      | $9653619.92     | 0.00%             | 2037-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                                    | NPC UKRENERGO GOVT GUARANT 144A 11/28 6.875                | CUSIP: 63718LAA2<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |       400000 | PA      | $318840.00      | 0.00%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1218 FN 02/48 FIXED 3.5                        | CUSIP: 3140HEK84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4016 | PA      | $3837.04        | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8219 FN 02/46 FIXED VAR                        | CUSIP: 3138ETDZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39510 | PA      | $38314.28       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS9276 FR 03/37 FIXED 2.5                | CUSIP: 3132AAJV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       241288 | PA      | $224694.22      | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VI LTD 2017-6A                                                      | TRINITAS CLO LTD TRNTS 2017 6A ARRR 144A                   | CUSIP: 89640YBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     30800000 | PA      | $30798460.00    | 0.02%             | 2034-01-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA9477 FR 05/50 FIXED 3.5                | CUSIP: 3133A4Q66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       683933 | PA      | $633464.56      | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM1 PT 144A      | CUSIP: 36271LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225803277 | PA      | $235282272.59   | 0.12%             | 2065-04-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9844 FN 10/47 FIXED 3.5                        | CUSIP: 3140GY5E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1187824 | PA      | $1101192.93     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS3208 FR 04/41 FIXED 4                  | CUSIP: 3132A3R51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4010 | PA      | $3910.23        | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A3           | CUSIP: 14454AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13026219 | PA      | $10020025.54    | 0.00%             | 2036-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A1            | CUSIP: 86358BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2631901 | PA      | $2599374.33     | 0.00%             | 2037-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC 2014-520M                           | BANC OF AMERICA MERRILL LYNCH BAMLL 2014 520M A 144A       | CUSIP: 05525MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4563463.50     | 0.00%             | 2046-08-15      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE3 A2D               | CUSIP: 61749HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11028274 | PA      | $10589764.89    | 0.01%             | 2036-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8267 FR 03/53 FIXED 5.5                | CUSIP: 3133BWFG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2231506 | PA      | $2268322.65     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR14 1A3          | CUSIP: 93363PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1394397 | PA      | $1258374.82     | 0.00%             | 2036-11-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7642 FN 06/46 FIXED 4                          | CUSIP: 3140F3P44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21105 | PA      | $20308.58       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 31AA           | CUSIP: 17313QBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1426794 | PA      | $1277126.84     | 0.00%             | 2037-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR2                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR2 A2B                 | CUSIP: 23332UAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28760 | PA      | $26590.82       | 0.00%             | 2044-11-19      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV3                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV3 A1 144A         | CUSIP: 92540CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13344868 | PA      | $13564774.36    | 0.01%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0869 FN 06/29 FIXED VAR                        | CUSIP: 3138EG6F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2115 | PA      | $2118.20        | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $7799210.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-12                                                   | GSAA HOME EQUITY TRUST GSAA 2005 12 AF4                    | CUSIP: 362341SS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       145384 | PA      | $96487.61       | 0.00%             | 2035-09-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AS.9 SP GST                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1859.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7868 FN 09/46 FIXED 4                          | CUSIP: 3138WHW65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2935772 | PA      | $2825049.26     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-112                                                              | FANNIE MAE FNR 2007 112 SD                                 | CUSIP: 31396X4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       916223 | PA      | $92490.66       | 0.00%             | 2037-12-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0353 FN 03/30 FIXED 4.5                        | CUSIP: 31417YMB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11653 | PA      | $11725.92       | 0.00%             | 2030-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.37000 07/12/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-7785287.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-HYB1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2024 HYB1 A1A 144A             | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22550665 | PA      | $22719391.23    | 0.01%             | 2063-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| CDC MORTGAGE CAPITAL TRUST 2004-HE1                                              | CDC MORTGAGE CAPITAL TRUST CDCMC 2004 HE1 M2               | CUSIP: 12506YCM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       268466 | PA      | $269290.85      | 0.00%             | 2034-06-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 2A1              | CUSIP: 92977YBP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       366231 | PA      | $358907.44      | 0.00%             | 2035-10-20      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9817 FN 03/47 FIXED 4                          | CUSIP: 3138WK4B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       716932 | PA      | $689667.54      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08823 FG 07/48 FIXED 3.5                | CUSIP: 3128MJ4H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26847637 | PA      | $24920183.44    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 2A1 144A       | CUSIP: 12597GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82037545 | PA      | $82416607.45    | 0.04%             | 2059-09-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2004-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2004 WMC1 M3           | CUSIP: 83611MBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94298 | PA      | $80733.68       | 0.00%             | 2035-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 7 1A1                     | CUSIP: 12669GNL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       173622 | PA      | $163251.04      | 0.00%             | 2035-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251009                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $3185.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4053 FN 10/47 FIXED 4                          | CUSIP: 3140GSQF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4411197 | PA      | $4243648.83     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 04/41 2.75                          | CUSIP: ACI1X0DG7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     44400000 | PA      | $33612558.59    | 0.02%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 480335 GN 01/29 FIXED 6.1                        | CUSIP: 36209SSY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14540 | PA      | $14787.13       | 0.00%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH0798 FN 04/47 FIXED 3.5                        | CUSIP: 3140GN3G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8161 | PA      | $7630.23        | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-12                                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 12 3A1             | CUSIP: 61755GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       272268 | PA      | $85764.45       | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A              | CUSIP: ACI0Y9KL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    102876040 | PA      | $138856020.36   | 0.07%             | 2049-12-21      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6216 FR 01/53 FIXED 6                  | CUSIP: 3133BT3Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       569644 | PA      | $585194.23      | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A3           | CUSIP: 41161PKH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       131380 | PA      | $128560.52      | 0.00%             | 2035-01-19      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-218124.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-7                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 7 1A             | CUSIP: 41161PGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14649 | PA      | $14133.76       | 0.00%             | 2034-11-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                                     | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A             | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $945567.00      | 0.00%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3210 FN 09/49 FIXED VAR                        | CUSIP: 3140X6R86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       198407 | PA      | $183416.60      | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-15                                                               | FANNIE MAE FNR 2007 15 AI                                  | CUSIP: 31396PWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1344925 | PA      | $133230.69      | 0.00%             | 2037-03-25      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3511 FN 03/28 FIXED VAR                        | CUSIP: 3138EK3V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5008 | PA      | $4967.56        | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA ALT LN TRUST 2004-6                                              | BANC AMER ALTERNATIVE LN 2003 10 CL0                       | CUSIP: 05948K9A9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          100 | PA      | $0.00           | 0.00%             | 2034-07-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.95000 10/27/22-7Y* LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $110570855.58   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1609 FN 10/25 FIXED 4                          | CUSIP: 31416WYF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          140 | PA      | $140.04         | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP DUB                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $202348.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-J                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 J 1A1            | CUSIP: 05948XXW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22123 | PA      | $21742.61       | 0.00%             | 2033-11-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8635 FN 11/25 FIXED 3.5                        | CUSIP: 31419KSZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2230 | PA      | $2222.69        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A B 144A               | CUSIP: 193938AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16995907 | PA      | $17336812.70    | 0.01%             | 2055-05-25      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/27 5.75        | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12316000 | PA      | $12473716.60    | 0.01%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9574 FN 04/47 FIXED 4                          | CUSIP: 3140FVT89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4238793 | PA      | $4038268.88     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5422 FN 07/54 FIXED 6.5                        | CUSIP: 31418FAY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3999602 | PA      | $4137069.40     | 0.00%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE7 M1                | CUSIP: 61744CGD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9833404 | PA      | $10213885.57    | 0.01%             | 2034-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2268 FN 01/45 FIXED 4.5                        | CUSIP: 3138YFQW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61149 | PA      | $60508.33       | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/0.70000 09/18/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $55332649.76    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-B                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 B 2AV4            | CUSIP: 63860LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1433529 | PA      | $1423808.76     | 0.00%             | 2037-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO6478 FN 10/49 FIXED 3                          | CUSIP: 3140K2FU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       181915 | PA      | $162591.40      | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7056 FN 03/47 FIXED 3.5                        | CUSIP: 3140FEZW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8307 | PA      | $7763.83        | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB1                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB1 M3             | CUSIP: 126673XU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8200000 | PA      | $7638095.00     | 0.00%             | 2035-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A B 144A                                 | CUSIP: ACI12K022<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     82543000 | PA      | $108250412.62   | 0.05%             | 2045-02-22      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080594 G2 04/32 FLOATING VAR                  | CUSIP: 36225CUU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1910 | PA      | $1940.96        | 0.00%             | 2032-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $1281958.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-1                                                    | OPORTUN FUNDING LLC OPTN 2025 1 A 144A                     | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13898497 | PA      | $13917787.87    | 0.01%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX3                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX3 A1           | CUSIP: 45670AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10865300 | PA      | $10146380.85    | 0.01%             | 2037-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $-2478.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV2423 FN 12/44 FIXED 4.5                        | CUSIP: 3138XDVR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44472 | PA      | $44172.58       | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 B2 144A       | CUSIP: 17329HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30313550 | PA      | $24963584.31    | 0.01%             | 2060-10-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE2                                                             | GSAMP TRUST GSAMP 2005 HE2 M2                              | CUSIP: 36242DA60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2821970 | PA      | $2707206.84     | 0.00%             | 2035-03-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890200 FN 10/39 FIXED VAR                        | CUSIP: 31410K7M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2962 | PA      | $3130.87        | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT2                                               | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M3           | CUSIP: 40430HEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7185000 | PA      | $6920462.67     | 0.00%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CSMCM 2021-RPL8 TRUST                                                            | CSMCM TRUST CERTIFICATES CSMCM 2021 RPL8 CERT 144A         | CUSIP: 12598KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18661364 | PA      | $15340912.21    | 0.01%             | 2061-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A D 144A             | CUSIP: ACI2DJB37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     24632749 | PA      | $33161643.24    | 0.02%             | 2053-03-14      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-77T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 77T1 2A3         | CUSIP: 12668BCM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27319 | PA      | $13910.03       | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR             | CUSIP: 903724CE0<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      3627465 | PA      | $1509932.31     | 0.00%             | 2034-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q53630 FG 01/48 FIXED 3.5                | CUSIP: 3132XWA84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        86089 | PA      | $80351.35       | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2374 FN 12/41 FIXED VAR                        | CUSIP: 3138EJT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32478 | PA      | $31666.11       | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                                  | GAZPROM (GAZ CAPITAL SA) SR UNSECURED REGS 04/34 8.625     | CUSIP: B00ZMCII3<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     29460000 | PA      | $25777500.00    | 0.01%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 9.93932 08/07/23-01/02/26 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-5375779.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4760 FN 07/53 FIXED 5.5                        | CUSIP: 3140NMJE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32063157 | PA      | $32492056.06    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC7839 FN 01/55 FIXED 7                          | CUSIP: 3140AVV99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8242872 | PA      | $8635455.65     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST 2024-2                                        | TRICOLOR AUTO SECURITIZATION T TAST 2024 2A A 144A         | CUSIP: 89616PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1669066 | PA      | $1604242.22     | 0.00%             | 2027-12-15      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2005-10                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 10 1A2A           | CUSIP: 17307GT57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       177298 | PA      | $108958.93      | 0.00%             | 2035-12-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A2            | CUSIP: 14688PAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2778103 | PA      | $2779786.28     | 0.00%             | 2027-11-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1036 FN 10/46 FIXED 3.5                        | CUSIP: 3140FLEJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       366489 | PA      | $342734.56      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                                  | UNITI GROUP INC COMMON STOCK USD.0001                      | CUSIP: 912932100<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |       681286 | NS      | $4169470.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-R1                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 R1 1AF 144A               | CUSIP: 12669F7J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2643721 | PA      | $2543516.58     | 0.00%             | 2034-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2024-INV1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2024 INV1 PT 144A         | CUSIP: 52475VBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240237228 | PA      | $1299724090.44  | 0.64%             | 2053-12-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-2                                              | SAXON ASSET SECURITIES TRUST SAST 2007 2 A2B               | CUSIP: 80556YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21579829 | PA      | $15963397.62    | 0.01%             | 2037-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR3228 FN 02/36 FIXED 2                          | CUSIP: 3140L1SS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       977633 | PA      | $903284.84      | 0.00%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 B3 144A         | CUSIP: 52473LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130381387 | PA      | $55571923.96    | 0.03%             | 2056-12-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-PT-A                              | NAVIENT STUDENT LOAN TRUST NAVSL 2019 PTA PT 144A          | CUSIP: 63941PAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104695399 | PA      | $98598765.94    | 0.05%             | 2045-11-15      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 14 2A3             | CUSIP: 23243LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3552408 | PA      | $3476536.89     | 0.00%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-11092737.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-WMC2                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 WMC2 M5           | CUSIP: 59020UWM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1692750 | PA      | $1678222.72     | 0.00%             | 2036-04-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA             | CUSIP: 38376RC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3492671 | PA      | $3500632.01     | 0.00%             | 2066-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A         | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190284316 | PA      | $192215130.50   | 0.09%             | 2055-02-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-195571.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2522 FR 09/38 FIXED 3.5                | CUSIP: 31329KYT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23692 | PA      | $22865.80       | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-2                                                           | CHASEFLEX TRUST CFLX 2007 2 A1                             | CUSIP: 16165WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8937619 | PA      | $8626733.74     | 0.00%             | 2037-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $377166.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                             | DISH DBS CORP SR SECURED 144A 12/28 5.75                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    252793000 | PA      | $242552355.57   | 0.12%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6408 FN 01/46 FIXED 3.5                        | CUSIP: 3138WGDN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9286 | PA      | $8715.39        | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-5                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 5 A2 144A         | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11400000 | PA      | $11485518.24    | 0.01%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6777 FN 07/53 FIXED 6                          | CUSIP: 3140NPQ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137391 | PA      | $140993.71      | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2002-AR16 TRUST                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR16 A            | CUSIP: 929227WQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        77784 | PA      | $75743.57       | 0.00%             | 2032-12-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM37 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $66129.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLT 2024-INV1 MORTGAGE LOAN TRUST                                               | COLT FUNDING LLC COLT 2024 INV1 A1 144A                    | CUSIP: 12672RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12303528 | PA      | $12411564.81    | 0.01%             | 2068-12-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO XI 2021-11A                                                     | OCEAN TRAILS CLO OCTR 2021 11A AR 144A                     | CUSIP: 67514VAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     43800000 | PA      | $43835070.22    | 0.02%             | 2034-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2167 FR 04/53 FIXED 5                  | CUSIP: 3133C2MQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       882537 | PA      | $881141.38      | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8117 FN 06/43 FIXED 4                          | CUSIP: 3138WWAT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18513 | PA      | $17895.73       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A13        | CUSIP: 02149JAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3279613 | PA      | $1170275.97     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6567 FN 10/44 FIXED VAR                        | CUSIP: 3138EPJM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4125 | PA      | $4101.87        | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0701 FN 12/40 FIXED VAR                        | CUSIP: 31419AX77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       128643 | PA      | $129340.89      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-AR2                                               | HSI ASSET LOAN OBLIGATION HALO 2007 AR2 3A1                | CUSIP: 44329EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       777088 | PA      | $662283.83      | 0.00%             | 2037-09-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $317471.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM44 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1925881.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEX BONOS DESARR FIX RT BONDS 05/33 7.5                    | CUSIP: ACI2BPJ03<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    451600000 | PA      | $23259736.48    | 0.01%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS7 2A1           | CUSIP: 74923WAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6095818 | PA      | $2239196.17     | 0.00%             | 2037-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2849 FN 05/47 FIXED 3.5                        | CUSIP: 3140GREX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12089 | PA      | $11247.63       | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A A2 144A            | CUSIP: 36270YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13871886 | PA      | $13883188.88    | 0.01%             | 2027-10-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB7                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 1A1                  | CUSIP: 126694FW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       546307 | PA      | $447195.35      | 0.00%             | 2035-11-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.32826 09/03/24-7Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $951130.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 B 144A        | CUSIP: 17329HAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59982316 | PA      | $36713826.02    | 0.02%             | 2060-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-IM3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 IM3 A3             | CUSIP: 126670JD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       450572 | PA      | $482782.72      | 0.00%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-H                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 H 1A1            | CUSIP: 05949CFT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1363537 | PA      | $1194551.86     | 0.00%             | 2035-09-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A1               | CUSIP: 22942JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13131391 | PA      | $4602184.98     | 0.00%             | 2036-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-A                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 A 1A1              | CUSIP: 92977YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       249470 | PA      | $245044.00      | 0.00%             | 2035-08-20      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0139 FR 08/53 FIXED 6                  | CUSIP: 3133CCEL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74274 | PA      | $76395.20       | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4305 FR 09/47 FIXED 3.5                | CUSIP: 3131XXYA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13252 | PA      | $12383.54       | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                              | SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A           | CUSIP: 80557CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4744740 | PA      | $4191612.89     | 0.00%             | 2037-12-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $41448.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP3                                                             | RAAC SERIES RAAC 2007 RP3 A 144A                           | CUSIP: 74978BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5066076 | PA      | $4970645.95     | 0.00%             | 2046-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHESTER A CESTR 1 AA Z 144A                                | CUSIP: ACI1BFKG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    116570000 | PA      | $152217954.15   | 0.08%             | 2046-03-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A2           | CUSIP: 75115BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21041341 | PA      | $6768917.28     | 0.00%             | 2036-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-2242211.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP3                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP3 PT 144A         | CUSIP: 12654RAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534538846 | PA      | $461995296.43   | 0.23%             | 2048-06-25      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX0387 FN 11/52 FIXED 4                          | CUSIP: 3140N4ND5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1919645 | PA      | $1813261.11     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 3A BR 144A       | CUSIP: ACI2S29G2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1000000 | PA      | $1176227.47     | 0.00%             | 2033-05-15      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1613389.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES2                                              | TOWD POINT MORTGAGE TRUST TPMT 2025 CES2 A1 144A           | CUSIP: 89183KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28299917 | PA      | $28503076.06    | 0.01%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD5569 FN 03/55 FIXED 6.5                        | CUSIP: 3140B6FK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2999701 | PA      | $3115237.46     | 0.00%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A A3 144A            | CUSIP: 36270YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14500000 | PA      | $14553151.20    | 0.01%             | 2028-07-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A R 144A                       | CUSIP: ACI2V5FG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     31502000 | PA      | $31923848.44    | 0.02%             | 2056-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-24A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 24A 3A2           | CUSIP: 86359AG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        56903 | PA      | $56005.65       | 0.00%             | 2033-07-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9            | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     18359000 | PA      | $17457113.76    | 0.01%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A C                      | CUSIP: ACI2Q4LQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     46312000 | PA      | $54718476.87    | 0.03%             | 2067-08-22      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP5098 FN 05/50 FIXED 4                          | CUSIP: 3140KCUY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       685086 | PA      | $652138.44      | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 D B 144A           | CUSIP: 78454XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33407719 | PA      | $34580215.90    | 0.02%             | 2058-10-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 1A               | CUSIP: 12669LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23378421 | PA      | $21589882.81    | 0.01%             | 2037-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q49035 FG 06/47 FIXED 3.5                | CUSIP: 3132WPBD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        71623 | PA      | $66814.52       | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8351 FR 03/53 FIXED 5.5                | CUSIP: 3133BWH48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5945073 | PA      | $6029788.78     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-5                                                 | AEGIS ASSET BACKED SECURITIES AABST 2004 5 M3              | CUSIP: 00764MDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       107304 | PA      | $11250.44       | 0.00%             | 2034-12-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS7 A1            | CUSIP: 748940AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       249065 | PA      | $199905.39      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN EURO CLO 20-74A                                                           | DRYDEN LEVERAGED LOAN CDO DRYD 2020 74A AR 144A            | CUSIP: ACI2Z96Y3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     76700000 | PA      | $90341032.58    | 0.04%             | 2039-10-18      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $4519272.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2255                                                                 | FREDDIE MAC FHR 2255 Z                                     | CUSIP: 3133TPN54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30683 | PA      | $32425.22       | 0.00%             | 2030-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                              | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3                | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2330917 | PA      | $2308402.04     | 0.00%             | 2034-10-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A2 144A        | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26945689 | PA      | $27043984.08    | 0.01%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3726 FN 12/52 FIXED 5.5                        | CUSIP: 3140N8D88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5216872 | PA      | $5286175.56     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2024-1                                               | CAPITAL STREET MASTER TRUST CAPST 2024 1 B 144A            | CUSIP: 14051LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10100000 | PA      | $10119791.96    | 0.00%             | 2028-10-16      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A3            | CUSIP: 05949CKS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50270 | PA      | $45167.38       | 0.00%             | 2035-11-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-3452348.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                                 | GAZPROM PJSC (GAZ FN) SR UNSECURED 144A 01/29 2.95         | CUSIP: ACI1V9J90<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |     93400000 | PA      | $68672350.00    | 0.03%             | 2029-01-27      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A2            | CUSIP: 74922QAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4991515 | PA      | $4625727.06     | 0.00%             | 2036-09-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $4567.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 WF2 M2            | CUSIP: 86359DDC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           46 | PA      | $45.66          | 0.00%             | 2035-05-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| OCS GROUP HOLDINGS LIMITED                                                       | OCS GROUP HOLDINGS LTD GBP TERM LOAN B                     | CUSIP: BA000BQB0<br>LEI: 54930002RKY3Y4LURL90 | Long             | LON              | CORP              | GB        |     23300000 | PA      | $31349162.13    | 0.02%             | 2031-11-28      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW6180 FN 08/52 FIXED 4                          | CUSIP: 3140MX2N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       468175 | PA      | $443678.27      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60000 08/28/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $102264.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCULPTOR CLO XXVII LTD 27A                                                       | SCULPTOR CLO LTD SCUL 27A A1R 144A                         | CUSIP: 81124UAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     67800000 | PA      | $67830510.00    | 0.03%             | 2034-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2004-1                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2004 1 M1             | CUSIP: 68389FES9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8834508 | PA      | $8377785.18     | 0.00%             | 2034-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2025-A                                                     | SBNA AUTO LEASE TRUST SBALT 2025 A A2 144A                 | CUSIP: 78437KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20655232 | PA      | $20690289.67    | 0.01%             | 2027-04-20      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1888 FN 05/44 FIXED 4                          | CUSIP: 31418BC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23493 | PA      | $22716.02       | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1695921.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX3661 FR 01/55 FIXED 7                  | CUSIP: 31425YB71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7248739 | PA      | $7607444.77     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5392 FN 09/47 FIXED 4                          | CUSIP: 3140GT7E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3690712 | PA      | $3541498.13     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4335 FN 09/46 FIXED 3.5                        | CUSIP: 3140FBY95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       166648 | PA      | $155863.65      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $0.00           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-3 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 3A A1R 144A        | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     64800000 | PA      | $65038899.46    | 0.03%             | 2035-07-17      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-1                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 1 M3             | CUSIP: 07384YUW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6878712 | PA      | $6792101.81     | 0.00%             | 2036-02-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-2                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 2 A2C            | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23646039 | PA      | $17291934.64    | 0.01%             | 2037-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 24A1                 | CUSIP: 07386HVV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3749813 | PA      | $1625072.92     | 0.00%             | 2035-09-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8011 FR 10/34 FIXED 3                  | CUSIP: 3132D53U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20346 | PA      | $19728.43       | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A4                                         | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A4 1A8            | CUSIP: 17309VAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3110797 | PA      | $2894482.12     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08721 FG 09/46 FIXED 3                  | CUSIP: 3128MJYT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3402278 | PA      | $3080547.89     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.56500 08/28/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $352728.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW3                                              | PARK PLACE SECURITIES INC PPSI 2005 WCW3 M2                | CUSIP: 70069FLX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41453 | PA      | $41534.64       | 0.00%             | 2035-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7707 G2 11/51 FIXED 3.5                     | CUSIP: 36179WR42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       232157 | PA      | $213157.78      | 0.00%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251010                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-1577112.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP                  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A       | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58163808 | PA      | $57365882.04    | 0.03%             | 2037-04-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9600 FN 02/47 FIXED 4                          | CUSIP: 3138WKU29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49319 | PA      | $47443.82       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 1A A4 144A       | CUSIP: 78435VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3650000 | PA      | $3709724.59     | 0.00%             | 2031-01-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A1           | CUSIP: 45660LVL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1177268 | PA      | $966749.12      | 0.00%             | 2035-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.10000 01/21/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2154941.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5506 FN 09/47 FIXED 4                          | CUSIP: 3140GUDL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       182010 | PA      | $174973.68      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60722 FG 10/46 FIXED 3                  | CUSIP: 31335AYT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       160904 | PA      | $145755.27      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVII LTD/PREFERRED TERM SECURITEIS XXVII INC          | PRETSL XXVII LTD SR SECURED 144A 12/37 VAR                 | CUSIP: 74042TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     10080735 | PA      | $9375083.09     | 0.00%             | 2037-12-22      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR6 A3            | CUSIP: 86359LFK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          681 | PA      | $673.11         | 0.00%             | 2035-02-19      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX9932 FR 04/55 FIXED 6.5                | CUSIP: 31426HBA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2999701 | PA      | $3105428.02     | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 29 2A1                    | CUSIP: 12669GJB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       229234 | PA      | $214904.13      | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MASTER ALTERNATIVE LOANS TR 2003-7                                               | MASTR ALTERNATIVE LOANS TRUST MALT 2003 7 7A18             | CUSIP: 576434JB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1482375 | PA      | $1450045.58     | 0.00%             | 2033-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |            1 | NC      | $500175.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0458 FR 09/52 FIXED 6                  | CUSIP: 3133BMQK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3705062 | PA      | $3812695.12     | 0.00%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.9* 9/17/23-29Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $52705883.47    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745933 FN 09/36 FIXED VAR                        | CUSIP: 31403DV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5174 | PA      | $5455.12        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q49553 FG 07/47 FIXED 4                  | CUSIP: 3132WPTK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2191 | PA      | $2103.88        | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2018-RP11                                                            | CSMCM TRUST CERTIFICATES CSMCM 2018 RP11 CERT 144A         | CUSIP: 12656XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8768885 | PA      | $7451967.84     | 0.00%             | 2058-10-25      | Fixed         | 10.16%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q57967 FG 08/48 FIXED 3.5                | CUSIP: 3132Y1Z92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56290 | PA      | $52289.56       | 0.00%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A5 4A1                 | CUSIP: 46632BAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3623008 | PA      | $2796425.54     | 0.00%             | 2037-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 1 2A2A            | CUSIP: 17307GPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       712551 | PA      | $678424.63      | 0.00%             | 2035-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA8274 FR 12/52 FIXED 6.5                | CUSIP: 3133KQFP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2990456 | PA      | $3101073.86     | 0.00%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-A                                                  | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 A 1A1              | CUSIP: 92977TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       264990 | PA      | $250572.58      | 0.00%             | 2036-05-20      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL7                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL7 A1 144A        | CUSIP: 12597AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274859050 | PA      | $265745273.87   | 0.13%             | 2059-01-27      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-6                                                | VERUS SECURITIZATION TRUST VERUS 2024 6 A1 144A            | CUSIP: 92540JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29438204 | PA      | $29747184.61    | 0.01%             | 2069-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 5 LLC/ABILENE DC 6 LLC                                                | PROJECT FLASH TERM LOAN                                    | CUSIP: BA000KZ79<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    556732821 | PA      | $556732821.48   | 0.27%             | 2030-04-30      | Floating      | 1.98%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 45 2A1           | CUSIP: 12667G6K4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12239044 | PA      | $8829182.60     | 0.00%             | 2035-10-20      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                                           | CHASEFLEX TRUST CFLX 2007 3 2A1                            | CUSIP: 16165AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8119691 | PA      | $7213014.57     | 0.00%             | 2037-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC            | PREFERRED TERM XXIV SR SECURED 144A 03/37 VAR              | CUSIP: 74043CAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     45770817 | PA      | $38905194.36    | 0.02%             | 2037-03-22      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2019-RP1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2019 RP1 M3 144A       | CUSIP: 17327RAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7535000 | PA      | $6712226.98     | 0.00%             | 2066-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP4746 FN 08/27 FIXED 3                          | CUSIP: 3138M8HY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11315 | PA      | $11202.90       | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHESTER A CESTR 1 AA D 144A                                | CUSIP: ACI1BFGR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     71735000 | PA      | $96885394.23    | 0.05%             | 2046-03-17      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2005-RS5                                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS5 M6            | CUSIP: 76112BQB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4750000 | PA      | $4928147.34     | 0.00%             | 2035-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTG SEC-1999-B                                                | BOMBARDIER CAPITAL MORTGAGE SE BCM 1999 B A2               | CUSIP: 09774XBC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8917915 | PA      | $560679.15      | 0.00%             | 2029-12-17      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6782 FN 02/47 FIXED 3.5                        | CUSIP: 3140FSRC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       320999 | PA      | $298665.09      | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.67000 01/08/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-232815.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH4                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH4 M2           | CUSIP: 46630CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32875000 | PA      | $30361206.55    | 0.01%             | 2037-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRT& RES FIN 2006-BC3                                             | SPECIALTY UNDERWRITING + RESID SURF 2006 BC3 A2C           | CUSIP: 84751WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1574443 | PA      | $936412.30      | 0.00%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2019-RP11                                                            | CSMCM TRUST CERTIFICATES CSMCM 2019 RP11 CERT 144A         | CUSIP: 12659HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23739238 | PA      | $20191530.10    | 0.01%             | 2059-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX A 144A         | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40305687 | PA      | $35554287.57    | 0.02%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-26450423.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0007 FN 04/53 FIXED 5.5                        | CUSIP: 3140NGAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21484211 | PA      | $21783645.24    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3661 FN 05/39 FIXED 4                          | CUSIP: 31418DB76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10661 | PA      | $10487.75       | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.03000 12/15/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3139350.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. 01/27 1                                          | CUSIP: ACI2QBKK2<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     21407899 | PA      | $25136807.99    | 0.01%             | 2027-01-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7371 FN 08/47 FIXED 3.5                        | CUSIP: 3140GWFM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10487 | PA      | $9803.64        | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KENTMERE PLC 3A                                                                  | KENTMERE KMR 3A R 144A                                     | CUSIP: ACI2RTSJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3309000 | PA      | $3692297.51     | 0.00%             | 2051-01-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20300513                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $339097.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-2 SP ULO                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-3348383.71    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ1157 FN 06/45 FIXED 4                          | CUSIP: 3138YSJB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39736 | PA      | $38274.21       | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $607544.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 2A4              | CUSIP: 23245CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46488616 | PA      | $41455125.95    | 0.02%             | 2037-07-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0233 FN 08/47 FIXED 3.5                        | CUSIP: 3140Q7HK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13114061 | PA      | $12255850.34    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TSTAT 2022-1A LTD                                                                | TSTAT 2022 1 LTD TSTAT 2022 1A A1RR 144A                   | CUSIP: 872899AY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      5113319 | PA      | $5119084.04     | 0.00%             | 2037-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S3 1A13          | CUSIP: 16163HAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9014022 | PA      | $3754612.51     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN6230 FN 04/49 FIXED 3.5                        | CUSIP: 3140JN4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       296012 | PA      | $274018.94      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A4                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A4 1A             | CUSIP: 589929W53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22752 | PA      | $22217.95       | 0.00%             | 2033-07-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A1            | CUSIP: 55275TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24943096 | PA      | $6492780.24     | 0.00%             | 2037-01-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 B1 144A      | CUSIP: 36263MCD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3515046 | PA      | $3082170.09     | 0.00%             | 2052-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT2                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A1           | CUSIP: 00075XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31939576 | PA      | $28496822.29    | 0.01%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CNL COMMERCIAL MORTGAGE LOAN TRUST 2003-1 2003-1A                                | CNL COMMERCIAL MORTGAGE LOAN T CNL 2003 1A A1 144A         | CUSIP: 12614MAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        92512 | PA      | $90739.70       | 0.00%             | 2031-05-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-9                                                   | HOME EQUITY ASSET TRUST HEAT 2005 9 M2                     | CUSIP: 437084QZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7055425 | PA      | $6804547.10     | 0.00%             | 2036-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2024-1A                       | GMF CANADA LEASING TRUST GCOLT 2024 1A A2 144A             | CUSIP: 36252MDE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     14836579 | PA      | $10710903.75    | 0.01%             | 2026-12-21      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG3963 G2 06/48 FIXED 4                       | CUSIP: 3617GNML1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       504134 | PA      | $477606.34      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 3 3A2 144A        | CUSIP: 17323LAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       320242 | PA      | $307180.61      | 0.00%             | 2036-06-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2618 FN 08/47 FIXED 3.5                        | CUSIP: 3140GQ4C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1424861 | PA      | $1330511.70     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4155 FN 08/32 FIXED VAR                        | CUSIP: 3140J8TM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5956 | PA      | $5894.75        | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2014-2R                                            | NOMURA RESECURITIZATION TRUST NMRR 2014 2R 2A11 144A       | CUSIP: 65540FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3048952 | PA      | $2663153.80     | 0.00%             | 2036-10-26      | Floating      | 0.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08648 FG 06/45 FIXED 3                  | CUSIP: 3128MJWJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       219868 | PA      | $198715.80      | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 520790 FN 04/28 FLOATING VAR                     | CUSIP: 31384DRK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          690 | PA      | $693.50         | 0.00%             | 2028-04-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2008 R1 2A1 144A            | CUSIP: 46632GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3493875 | PA      | $2724532.38     | 0.00%             | 2037-12-26      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 SA 144A       | CUSIP: 17329NAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       258556 | PA      | $245846.84      | 0.00%             | 2065-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8495 FN 02/47 FIXED 4.5                        | CUSIP: 3140FUNM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26634 | PA      | $26355.81       | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 7/20/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5385603.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7678 FN 12/46 FIXED 2.5                        | CUSIP: 3140FFQ87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32472 | PA      | $28044.72       | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2003-RS9                                          | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2003 RS9 MII1          | CUSIP: 760985B34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1167570 | PA      | $1168025.02     | 0.00%             | 2033-10-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2142 FN 01/26 FIXED 4                          | CUSIP: 31416XLY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           64 | PA      | $64.27          | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2006-AR4                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR4 1A2          | CUSIP: 32053AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       305782 | PA      | $146502.85      | 0.00%             | 2037-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST2004-36CB                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 36CB 1A1         | CUSIP: 12667FR23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5933767 | PA      | $4209902.07     | 0.00%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC2                                          | STRUCTURED ASSET SECURITIES CO SASC 2007 BC2 A4            | CUSIP: 86362YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15615132 | PA      | $10458164.21    | 0.01%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM7 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM7 A1 144A             | CUSIP: 67117XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13472414 | PA      | $13658361.40    | 0.01%             | 2063-04-25      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1          | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13512733 | PA      | $10932634.81    | 0.01%             | 2047-02-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| AG TRUST 2024-NLP                                                                | AG TRUST AG 2024 NLP A 144A                                | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38060771 | PA      | $38249118.78    | 0.02%             | 2041-07-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-5806439.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A1             | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26097 | PA      | $25185.89       | 0.00%             | 2036-02-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-13079831.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4774 FN 03/53 FIXED VAR                        | CUSIP: 3140XLJU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       383328 | PA      | $388700.59      | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)                  | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/26 3.5        | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |       906000 | PA      | $900050.07      | 0.00%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2995 FN 05/47 FIXED 4                          | CUSIP: 31418CKH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43235894 | PA      | $41591587.77    | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                               | VERUS SECURITIZATION TRUST VERUS 2025 R1 A1 144A           | CUSIP: 92541AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29760385 | PA      | $30033558.23    | 0.01%             | 2065-05-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CENTEX-2004-A                                                                    | CENTEX HOME EQUITY CXHE 2004 A M1                          | CUSIP: 152314JD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       306569 | PA      | $319953.95      | 0.00%             | 2034-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-C                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 C M1              | CUSIP: 63860KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2527000 | PA      | $2235150.20     | 0.00%             | 2037-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-102746.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4557 FN 10/46 FIXED 4                          | CUSIP: 3140F0B37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156415 | PA      | $150515.51      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | ILLINOIS ST ILS 02/35 FIXED 6.63                           | CUSIP: 452152BM2<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     20569231 | PA      | $21782498.68    | 0.01%             | 2035-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1            | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25976 | PA      | $20457.15       | 0.00%             | 2035-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTG SEC CORP 2002-HE1                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 HE1 M2            | CUSIP: 22540VUL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84991 | PA      | $79406.12       | 0.00%             | 2032-08-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE6                                                             | GSAMP TRUST GSAMP 2005 HE6 M2                              | CUSIP: 362341G52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        57419 | PA      | $55971.95       | 0.00%             | 2035-11-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1776 FR 03/49 FIXED 3.5                | CUSIP: 3132AD6M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       340800 | PA      | $315480.04      | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JUBILEE PLACE 6 BV 6                                                             | JUBILEE PLACE JPMF 6 A REGS                                | CUSIP: ACI2NPQC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      7676742 | PA      | $9063506.70     | 0.00%             | 2060-09-17      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25             | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     60021000 | PA      | $47316817.69    | 0.02%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2024-1                            | FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2024 1 A2 144A         | CUSIP: 35105AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10874913 | PA      | $10923945.08    | 0.01%             | 2029-01-16      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.62000 01/31/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-73968.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $7376447.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22902.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 22A1           | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4334090 | PA      | $3818018.41     | 0.00%             | 2047-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-5AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 5AR 1A1            | CUSIP: 61748HAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        81316 | PA      | $82685.50       | 0.00%             | 2034-07-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $128399.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                          | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A        | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5581387 | PA      | $5309853.02     | 0.00%             | 2038-08-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9440 FN 03/53 FIXED 6                          | CUSIP: 3140NEP25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11653494 | PA      | $12012642.02    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CATHEDRAL LAKE VIII LTD                                                          | CATHEDRAL LAKE LTD CATLK 2021 8A A1 144A                   | CUSIP: 14919GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11500000 | PA      | $11543213.21    | 0.01%             | 2035-01-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 D D 144A           | CUSIP: 78454XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33628138 | PA      | $34410960.80    | 0.02%             | 2058-10-15      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $180907.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806506 FN 10/44 FLOATING VAR                     | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1025 | PA      | $1037.83        | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-309521.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.08000 01/08/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $2021349.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                      | CUSIP: 05494AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26318000 | PA      | $25138858.86    | 0.01%             | 2056-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.92750 03/25/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-11501358.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9349 FN 04/45 FIXED 4                          | CUSIP: 3140GYL72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       107372 | PA      | $103166.33      | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4451 G2 05/47 FIXED 3.5                     | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40449 | PA      | $37578.68       | 0.00%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 733869 FN 12/32 FIXED 6.5                        | CUSIP: 31402NJN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2226 | PA      | $2298.66        | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3026 FN 06/47 FIXED 3.5                        | CUSIP: 31418CLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       514111 | PA      | $480571.99      | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG          | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     17539000 | PA      | $2280070.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A1D         | CUSIP: 23242GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1892498 | PA      | $1787026.73     | 0.00%             | 2046-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.066 09/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-24690163.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7138 G2 01/51 FIXED 3.5                     | CUSIP: 36179V4X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       352753 | PA      | $324614.86      | 0.00%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                                            | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A A1 144A       | CUSIP: 16678RAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        57816 | PA      | $56895.50       | 0.00%             | 2035-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S1 A13           | CUSIP: 16163FAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201640 | PA      | $77461.42       | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.89600 01/08/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2174394.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT0522 FR 09/48 FIXED 4.5                | CUSIP: 3132ACSK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       728313 | PA      | $719369.44      | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                     | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       173706 | PA      | $153525.96      | 0.00%             | 2035-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 3.00000 03/21/17-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-9471365.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A2            | CUSIP: 32028GAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9851491 | PA      | $9531544.72     | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH3925 FN 09/47 FIXED 3.5                        | CUSIP: 3140GSLF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16884 | PA      | $15783.84       | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8982 FN 03/47 FIXED 4.5                        | CUSIP: 3138WJ6U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2985731 | PA      | $2950877.45     | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0853 FN 12/47 FIXED 3.5                        | CUSIP: 3140Q75P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15692 | PA      | $14678.69       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 238575 FN 03/33 FLOATING VAR                     | CUSIP: 31370Q6L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3180 | PA      | $3151.18        | 0.00%             | 2033-03-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-5                                                              | IMPAC CMB TRUST IMM 2004 5 1M3                             | CUSIP: 45254NJM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25624 | PA      | $25274.92       | 0.00%             | 2034-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-14390.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6062* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-248735.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $9457.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.25000 06/18/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $5378588.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5754 FN 12/47 FIXED 3.5                        | CUSIP: 3140H7MC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       460735 | PA      | $424542.79      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60000 01/17/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $322309.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION 2006-AM1                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 AM1 A5            | CUSIP: 86359XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3937216 | PA      | $3905023.47     | 0.00%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190328 FN 12/32 FIXED VAR                        | CUSIP: 31368HLH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44881 | PA      | $46400.68       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7648 FN 08/46 FIXED 4                          | CUSIP: 3138WHQA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126725 | PA      | $121945.29      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A11         | CUSIP: 12667GKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2691314 | PA      | $1833357.01     | 0.00%             | 2035-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2016-UBS9                                         | MORGAN STANLEY CAPITAL I TRUST MSC 2016 UBS9 ASB           | CUSIP: 61766CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       416095 | PA      | $415073.81      | 0.00%             | 2049-03-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-S11                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 S11 3A3           | CUSIP: 92922FGY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       266592 | PA      | $258514.26      | 0.00%             | 2033-11-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 12A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 12A A1 144A             | CUSIP: 01450DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5221213 | PA      | $5012364.78     | 0.00%             | 2037-07-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1 LTD                                                            | CQS US CLO LTD CQS 2021 1A AR 144A                         | CUSIP: 12659UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     48400000 | PA      | $48587216.52    | 0.02%             | 2035-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831679 FN 08/36 FIXED 6.5                        | CUSIP: 31407H6Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7528 | PA      | $7976.63        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-67                                                               | FANNIE MAE FNR 2008 67 ZM                                  | CUSIP: 31397MCS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       889106 | PA      | $904247.35      | 0.00%             | 2038-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS4                                             | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS4 A1 144A          | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13223369 | PA      | $13240846.65    | 0.01%             | 2060-11-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 1A1          | CUSIP: 45661KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2925923 | PA      | $2258912.28     | 0.00%             | 2036-06-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL1 SA 144A      | CUSIP: 36268LAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       362240 | PA      | $353704.96      | 0.00%             | 2063-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3997                                                          | FREDDIE MAC FHR 3997 GP                                    | CUSIP: 3137AMAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3684782 | PA      | $3628332.78     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2004-A8                                   | RESIDENTIAL ASSET SECURITIZATI RAST 2004 A8 A5             | CUSIP: 45660N4M4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       540303 | PA      | $502526.08      | 0.00%             | 2034-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD5147 FN 11/46 FIXED 3.5                        | CUSIP: 3140FCWH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       733070 | PA      | $685098.20      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3695 FN 06/47 FIXED 3.5                        | CUSIP: 3140FPC98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10754 | PA      | $10052.92       | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1790 FN 03/48 FIXED 3.5                        | CUSIP: 3140HE7C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5914117 | PA      | $5490764.27     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 433469 FN 08/28 FIXED 6.5                        | CUSIP: 31379YQW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1282 | PA      | $1323.48        | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST 2005-7                                             | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 7 7A2              | CUSIP: 61748HPM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34575 | PA      | $29557.33       | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO 8 2020-8A                                                       | OCEAN TRAILS CLO OCTR 2020 8A ARR                          | CUSIP: 67514UAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     84500000 | PA      | $84628793.21    | 0.04%             | 2034-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852414 FN 03/36 FIXED 6                          | CUSIP: 31408JAP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          751 | PA      | $767.29         | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2368                                                                 | FREDDIE MAC FHR 2368 AS                                    | CUSIP: 31339GNQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10279 | PA      | $10681.23       | 0.00%             | 2031-10-15      | Floating      | 9.26%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2004-2                                           | MASTR SEASONED SECURITIZATION MSSTR 2004 2 A2              | CUSIP: 55265WCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16158 | PA      | $16151.60       | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9424 FN 04/47 FIXED 4.5                        | CUSIP: 3138WKPJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93598 | PA      | $92602.79       | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-561040.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 A A2A             | CUSIP: 14319UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36915224 | PA      | $36996994.95    | 0.02%             | 2028-05-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $176670.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-RPL3                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2022 RPL3 PT 144A      | CUSIP: 36267AAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    729515299 | PA      | $691141481.47   | 0.34%             | 2062-01-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-RM2                                                     | ACE SECURITIES CORP. ACE 2005 RM2 M6                       | CUSIP: 004421NY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4311529 | PA      | $4138246.13     | 0.00%             | 2035-06-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.28000 03/04/25-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-746690.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/21/23-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3882685.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-2 SP DUB                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-811088.29     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4329 FN 01/30 FIXED 3                          | CUSIP: 3138WDY39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35239 | PA      | $34619.20       | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G2172 FH 09/37 FLOATING VAR             | CUSIP: 3128QSMV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1079 | PA      | $1103.15        | 0.00%             | 2037-09-01      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS5                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS5 A1            | CUSIP: 74923JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       488221 | PA      | $403746.04      | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CTRLP 2024-1                                                                     | SERIES 2024 1 CLN 2031 SERIES 2024 1 CLN 2031              | CUSIP: 15487CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148000000 | PA      | $148939699.36   | 0.07%             | 2031-10-25      | Floating      | 7.99%                 | No            |                  3 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 A2 144A        | CUSIP: 12662NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40232499 | PA      | $27142666.36    | 0.01%             | 2061-05-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 2A1A           | CUSIP: 41161QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        97388 | PA      | $45885.26       | 0.00%             | 2036-06-19      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB4023 FN 05/54 FIXED 6.5                        | CUSIP: 3140ADPH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1999801 | PA      | $2078966.05     | 0.00%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2022-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2022 P2 A4            | CUSIP: 14686JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16766510 | PA      | $16810741.52    | 0.01%             | 2028-02-10      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A9                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A9 3A1            | CUSIP: 59020UW27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1652106 | PA      | $745403.90      | 0.00%             | 2035-12-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE5 M1           | CUSIP: 07388CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       385182 | PA      | $384764.49      | 0.00%             | 2036-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG7530 FR 07/53 FIXED 5.5                | CUSIP: 3133C8LK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3456953 | PA      | $3499875.93     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3739 FN 12/52 FIXED 5.5                        | CUSIP: 3140N8EM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5099219 | PA      | $5168533.71     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 7/18/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-10602448.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-396506.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2023-H1 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2023 H1 A1 144A                 | CUSIP: 22758CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17615853 | PA      | $17770146.85    | 0.01%             | 2068-03-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2005-A4                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A4 1A             | CUSIP: 59020UXH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       281211 | PA      | $116014.33      | 0.00%             | 2035-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 03/19/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $72003698.99    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-1                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 12 2A1 144A       | CUSIP: 17314CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5357444 | PA      | $2695957.43     | 0.00%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6685 FN 05/46 FIXED 3.5                        | CUSIP: 3140F2NB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12533 | PA      | $12115.68       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII           | CUSIP: 76112BR36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15555386 | PA      | $14295024.99    | 0.01%             | 2035-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3931 FN 02/35 FIXED 3                          | CUSIP: 31418DLM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26816 | PA      | $26001.21       | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0232 FN 11/29 FIXED 4.5                        | CUSIP: 31417YHJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          540 | PA      | $541.88         | 0.00%             | 2029-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4460 FN 02/46 FIXED 4                          | CUSIP: 3140EY5W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       267657 | PA      | $257590.62      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF4             | CUSIP: 75971EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9024934 | PA      | $2997579.33     | 0.00%             | 2036-11-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-15CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 15CB A5          | CUSIP: 02151CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       768935 | PA      | $436502.93      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A G                   | CUSIP: ACI2PHM02<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11278000 | PA      | $16734879.00    | 0.01%             | 2048-06-20      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 1A1                   | CUSIP: 362341WX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       150394 | PA      | $76402.31       | 0.00%             | 2035-11-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| GREENE KING FINANCE PLC                                                          | GREENE KING FINANCE PLC SR SECURED 03/34 5.106             | CUSIP: B142WRII6<br>LEI: 213800QIJMYMW6TSBG41 | Long             | DBT              | CORP              | GB        |      1037198 | PA      | $1381255.10     | 0.00%             | 2034-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2003-BC4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 BC4 M1             | CUSIP: 126671F84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       180427 | PA      | $180416.86      | 0.00%             | 2033-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A2          | CUSIP: 92922F4B1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3794177 | PA      | $3606346.07     | 0.00%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/43 3.125                                | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    276604000 | PA      | $225853649.60   | 0.11%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF4662 FR 12/52 FIXED 6                  | CUSIP: 3133BSFB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       443207 | PA      | $454638.53      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 1A            | CUSIP: 542512AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21343606 | PA      | $14578914.10    | 0.01%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323865 FN 07/29 FIXED VAR                        | CUSIP: 31374TW21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          499 | PA      | $515.48         | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR1                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR1 1A2           | CUSIP: 45669AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       704674 | PA      | $555921.24      | 0.00%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.24250 08/07/24-2Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $9361514.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-7                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 7 5A1             | CUSIP: 576433QD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        75025 | PA      | $73270.06       | 0.00%             | 2034-07-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $8600.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-R5                                                                | CIM TRUST CIM 2019 R5 B1 144A                              | CUSIP: 12558RAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7242000 | PA      | $7166039.39     | 0.00%             | 2059-09-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.245 03/25/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-1783251.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3117 FR 07/52 FIXED 4                  | CUSIP: 3132DQPA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173663 | PA      | $164173.01      | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 1A1            | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89985047 | PA      | $54353487.94    | 0.03%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-689817.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S2 2A11                | CUSIP: 466247VD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        88086 | PA      | $65108.55       | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                     | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6945081 | PA      | $6392520.76     | 0.00%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4495 FN 06/47 FIXED 3.5                        | CUSIP: 3140GS7H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       801759 | PA      | $748129.69      | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEXICAN UDIBONOS BONDS 11/31 2.75                          | CUSIP: ACI1VZWM8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    827188202 | PA      | $40933699.63    | 0.02%             | 2031-11-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2005-C                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2005 C M3             | CUSIP: 456606HW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13050000 | PA      | $12409795.71    | 0.01%             | 2035-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR5                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR5 1A1                   | CUSIP: 362341LA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       118022 | PA      | $112890.49      | 0.00%             | 2035-10-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 1A4                 | CUSIP: 466247WL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123723 | PA      | $119867.21      | 0.00%             | 2035-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2024-NQM2                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2024 NQM2 PT1 144A       | CUSIP: 06745JAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153062272 | PA      | $157938239.50   | 0.08%             | 2064-03-25      | Variable      | 7.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8706 FN 11/25 FIXED 3                          | CUSIP: 31419KU86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          728 | PA      | $725.27         | 0.00%             | 2025-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1637 FN 05/49 FIXED VAR                        | CUSIP: 3140X4ZB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       106953 | PA      | $105684.24      | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A3            | CUSIP: 146919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45700000 | PA      | $45796280.76    | 0.02%             | 2029-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-15AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 15AR 4A1           | CUSIP: 61756XBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       829218 | PA      | $715348.53      | 0.00%             | 2037-11-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA0744 FR 01/49 FIXED 3.5                | CUSIP: 31334WZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3132058 | PA      | $2933366.13     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2005-RS7                                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS7 M2            | CUSIP: 76112BWX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10775 | PA      | $10772.37       | 0.00%             | 2035-07-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Z40117 FG 04/45 FIXED 3                  | CUSIP: 3132FCDW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53960 | PA      | $49561.40       | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11                             | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE11 M3          | CUSIP: 073879PA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12806627 | PA      | $12860551.54    | 0.01%             | 2034-12-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR24                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 1A1          | CUSIP: 22541QUJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9862 | PA      | $9804.53        | 0.00%             | 2033-10-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES6                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES6 A1A 144A        | CUSIP: 749410AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21289567 | PA      | $21379162.05    | 0.01%             | 2044-09-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS3                                              | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS3 MII1          | CUSIP: 76110WXF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       843586 | PA      | $830860.05      | 0.00%             | 2034-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/11/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-8619597.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP JPM                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $50790.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | REPUBLIC OF COLOMBIA SR UNSECURED 09/32 5                  | CUSIP: ACI309N04<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     47250000 | PA      | $54864790.46    | 0.03%             | 2032-09-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI1886 FN 05/41 FIXED 4.5                        | CUSIP: 3138AFCY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37867 | PA      | $37897.22       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                                          | BCAP LLC TRUST BCAP 2010 RR1 3A7 144A                      | CUSIP: 05532TAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9434997 | PA      | $4160906.46     | 0.00%             | 2035-12-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL5                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL5 X 144A         | CUSIP: 12655JAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    741909400 | PA      | $74.19          | 0.00%             | 2076-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3774 FR 12/26 FIXED 3                  | CUSIP: 3131X7FP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32440 | PA      | $32167.91       | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F0706B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28400000 | PA      | $29738306.55    | 0.01%             | 2054-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2 LTD 2015-2A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 2A ARV 144A       | CUSIP: 03329LAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     60500000 | PA      | $59627596.05    | 0.03%             | 2038-04-25      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR9 A1            | CUSIP: 92922FWE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       227945 | PA      | $222480.58      | 0.00%             | 2034-08-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2B          | CUSIP: 92922FB80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14325 | PA      | $13843.28       | 0.00%             | 2034-11-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50589 FG 09/47 FIXED 3.5                | CUSIP: 3132XSUP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       832191 | PA      | $775799.14      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2006-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 2 AF4             | CUSIP: 759676AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17328901 | PA      | $6423151.40     | 0.00%             | 2036-08-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| KINBANE 2022-RPL 1 DAC  22-RPL1A                                                 | KINBANE DAC KINBN 2022 RPL1A A 144A                        | CUSIP: ACI278GW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     30872660 | PA      | $36956489.87    | 0.02%             | 2062-09-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2020-A                                                    | SOFI ALTERNATIVE TRUST SAT 2020 A A 144A                   | CUSIP: 83406XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119286630 | PA      | $111678731.80   | 0.06%             | 2046-02-15      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A          | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       262985 | PA      | $262786.25      | 0.00%             | 2045-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/46 2.5                                  | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2319000 | PA      | $1637703.17     | 0.00%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-10                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 10 2A1A          | CUSIP: 41162CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8692047 | PA      | $7675609.92     | 0.00%             | 2036-11-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/17/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2788497.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-8                                                     | LEHMAN MORTGAGE TRUST LMT 2006 8 2A1                       | CUSIP: 52520SAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5848778 | PA      | $1123898.90     | 0.00%             | 2036-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                            | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 B C 144A         | CUSIP: 80280BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4300000 | PA      | $4320660.21     | 0.00%             | 2033-01-18      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-3                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 3 8A3             | CUSIP: 576433LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       146501 | PA      | $141370.03      | 0.00%             | 2034-05-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-2 SP BOA                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-243008.28     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-5A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 5A A3 144A               | CUSIP: 16144QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27000000 | PA      | $27087129.00    | 0.01%             | 2029-08-27      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1407 FN 03/48 FIXED 4                          | CUSIP: 3140HER53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7286 | PA      | $7008.21        | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFA 2024-RPL1 TRUST                                                              | MFRA TRUST MFRA 2024 RPL1 A1 144A                          | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3406506 | PA      | $3276834.41     | 0.00%             | 2066-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2915 FN 02/27 FIXED 3                          | CUSIP: 31418CGZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31900 | PA      | $31630.38       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3742 FN 12/52 FIXED 5.5                        | CUSIP: 3140N8EQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74859 | PA      | $75648.63       | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2185 FN 06/47 FIXED 4                          | CUSIP: 3140GQNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       717184 | PA      | $687246.92      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 3A1           | CUSIP: 86359LJE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45749 | PA      | $38673.89       | 0.00%             | 2045-05-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ4736 FR 07/55 FIXED 7                  | CUSIP: 3142GVHN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10274523 | PA      | $10775048.83    | 0.01%             | 2055-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 2B3 144A       | CUSIP: 12597GAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57175842 | PA      | $41994020.72    | 0.02%             | 2059-09-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1285 FN 05/47 FIXED VAR                        | CUSIP: 3140J5NB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28894 | PA      | $28694.28       | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1                                        | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 1 A 144A          | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10500000 | PA      | $10743257.70    | 0.01%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1128.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA5522 FN 04/50 FIXED 4                          | CUSIP: 3140QDD43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       751522 | PA      | $719686.96      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALTERNATIVE LOAN TRUST 2003-8                                    | BANC OF AMERICA ALTERNATIVE LO BOAA 2003 8 1CB1            | CUSIP: 05948XTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1742565 | PA      | $1760346.01     | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | ILLINOIS ST ILS 07/35 FIXED 7.35                           | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     15314286 | PA      | $16705757.08    | 0.01%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08765 FG 06/47 FIXED 3                  | CUSIP: 3128MJZ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5438602 | PA      | $4924205.99     | 0.00%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 2A1            | CUSIP: 68401TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25872083 | PA      | $14055570.63    | 0.01%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| AOA 2021-1177 MORTGAGE TRUST                                                     | AVENUE OF AMERICAS AOA 2021 1177 A 144A                    | CUSIP: 00192NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7275000 | PA      | $7274992.00     | 0.00%             | 2038-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1           | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       102188 | PA      | $72084.96       | 0.00%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR33                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR33 1A21         | CUSIP: 45668JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2886160 | PA      | $2465738.95     | 0.00%             | 2037-01-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 3A2          | CUSIP: 933637AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1823690 | PA      | $1521628.53     | 0.00%             | 2037-01-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2022-D                                         | WORLD OMNI AUTO RECEIVABLES TR WOART 2022 D A3             | CUSIP: 98163VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3343598 | PA      | $3357556.05     | 0.00%             | 2028-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2088 FN 06/47 FIXED 4.5                        | CUSIP: 3140GQKA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       228995 | PA      | $226560.70      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                                   | ARGENT SECURITIES INC. ARSI 2006 W3 A1                     | CUSIP: 040104SN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17898045 | PA      | $9789283.84     | 0.00%             | 2036-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1            | CUSIP: 576433SV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       121930 | PA      | $111690.17      | 0.00%             | 2034-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $15147.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZI4145 FR 01/36 FIXED 6.5                | CUSIP: 3131WGTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          676 | PA      | $704.95         | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NRZT 2019-5A                                                                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 5A B1 144A         | CUSIP: 64830MBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42221079 | PA      | $40437862.81    | 0.02%             | 2059-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4101 FN 10/47 FIXED 3.5                        | CUSIP: 3140GSRX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       226267 | PA      | $211284.04      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 1A1          | CUSIP: 45660LMF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10611839 | PA      | $7096209.86     | 0.00%             | 2035-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-H                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 H 2A3            | CUSIP: 05948XTJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       670710 | PA      | $645964.98      | 0.00%             | 2033-09-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2005-2                                                | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 2 M6              | CUSIP: 83611MEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       866081 | PA      | $864459.56      | 0.00%             | 2035-07-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 07/12/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1488239.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1844 FN 11/47 FIXED 3.5                        | CUSIP: 3140H3BN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       127687 | PA      | $118235.58      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7032 FN 12/47 FIXED 3.5                        | CUSIP: 3140GVY66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11351324 | PA      | $10561590.38    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-12690979.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                          | COUNTRY GARDEN HLDGS SR SECURED REGS 10/30 3.875           | CUSIP: ACI1S6R75<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     18050000 | PA      | $1985500.00     | 0.00%             | 2030-10-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-3                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 3 M6             | CUSIP: 64352VLP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32115000 | PA      | $31819028.16    | 0.02%             | 2035-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8823 FN 02/47 FIXED 4                          | CUSIP: 3138WJYV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3787834 | PA      | $3643779.33     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VI DAC 6A                                                             | ARBOUR CLO ARBR 6A AR 144A                                 | CUSIP: ACI2RC930<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     54500000 | PA      | $64130279.35    | 0.03%             | 2037-11-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8365 FN 06/48 FIXED 4.5                        | CUSIP: 3140FUJK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58729 | PA      | $57934.25       | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-87                                                               | FANNIE MAE FNR 2009 87 HS                                  | CUSIP: 31398FR45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       350692 | PA      | $34955.53       | 0.00%             | 2039-11-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2005-4                                             | RENAISSANCE HOME EQUITY LOAN T RAMC 2005 4 A5              | CUSIP: 759950FZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       270000 | PA      | $231627.33      | 0.00%             | 2036-02-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-500021.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-440644.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-8515821.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5021 G2 02/48 FIXED 4.5                     | CUSIP: 36179TSJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51766 | PA      | $51398.54       | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.46382 09/03/24-25Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6067830.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251007                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $421955.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A6                     | CUSIP: 12544RAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3915 | PA      | $1597.82        | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                      | URSA RE LTD UNSECURED 144A 12/26 VAR                       | CUSIP: 90323WAP5<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |     38700000 | PA      | $39903570.00    | 0.02%             | 2026-12-07      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7483 FR 02/53 FIXED 5.5                | CUSIP: 3133BVJ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16473785 | PA      | $16678151.84    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2011-2                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2011 2 3A2 144A        | CUSIP: 17318DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       210290 | PA      | $210510.85      | 0.00%             | 2037-09-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4634 FN 03/48 FIXED 4                          | CUSIP: 3140H6EG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5732848 | PA      | $5511838.96     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2003-A1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2003 A1 A2              | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1394 | PA      | $1417.78        | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-25                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 25 1A2           | CUSIP: 02151UAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7767002 | PA      | $3389768.42     | 0.00%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5504 FN 02/47 FIXED 4                          | CUSIP: 3140FRDJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55861 | PA      | $53727.88       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A3         | CUSIP: 92922F4P0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       446225 | PA      | $449936.71      | 0.00%             | 2045-10-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4885                                                          | FREDDIE MAC FHR 4885 AF                                    | CUSIP: 3137FMBD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7755099 | PA      | $7578712.49     | 0.00%             | 2049-06-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| KKR CLO 41 LTD                                                                   | KKR FINANCIAL CLO LTD KKR 2022 41A A1 144A                 | CUSIP: 48255PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5750000 | PA      | $5771823.67     | 0.00%             | 2035-04-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.25000 03/20/24-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-19324588.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A1A           | CUSIP: 251510MD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1454868 | PA      | $1335630.89     | 0.00%             | 2036-02-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/44 3.375                                | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    712349000 | PA      | $594700110.47   | 0.29%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A C 144A                         | CUSIP: ACI2SNZ69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     30820000 | PA      | $41474140.95    | 0.02%             | 2066-05-16      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO IX LTD                                                              | TRINITAS CLO LTD TRNTS 2018 9A ARRR 144A                   | CUSIP: 89641JAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2569671 | PA      | $2571441.10     | 0.00%             | 2032-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $2479.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                            | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A3            | CUSIP: 57645MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36581712 | PA      | $11955082.69    | 0.01%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MARZIO FINANCE SRL 24-15                                                         | MARZIO FINANCE MARFI 2024 15 A REGS                        | CUSIP: ACI2PM0F2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |      5419455 | PA      | $6395387.21     | 0.00%             | 2049-09-28      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-5                                          | AEGIS ASSET BACKED SECURITIES AABST 2005 5 M1              | CUSIP: 00764MHE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7544228 | PA      | $7126030.04     | 0.00%             | 2035-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $75.63          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2003-5                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 5 AI7            | CUSIP: 64352VEF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4067 | PA      | $4053.21        | 0.00%             | 2033-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH7815 FR 01/54 FIXED 6.5                | CUSIP: 3133CLVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       504023 | PA      | $526124.47      | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ2                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ2 M5                | CUSIP: 70069FHY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4784000 | PA      | $3938926.01     | 0.00%             | 2035-05-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A Y 144A                                | CUSIP: ACI2J98F0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      9500000 | PA      | $5123.39        | 0.00%             | 2050-11-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI7929 FN 08/41 FIXED 4                          | CUSIP: 3138AMY33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       530125 | PA      | $514942.40      | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5265 G2 06/48 FIXED 4.5                     | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3643508 | PA      | $3606269.51     | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6102 FR 12/48 FIXED 4                  | CUSIP: 31329PX73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25089 | PA      | $24107.12       | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-4                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 4 M1             | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11056566 | PA      | $10810802.90    | 0.01%             | 2035-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6875 FN 04/47 FIXED 3.5                        | CUSIP: 3140FST94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       410589 | PA      | $381196.99      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4784 FN 01/47 FIXED 3.5                        | CUSIP: 3140FQJ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       586375 | PA      | $549159.14      | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-1                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 8A1             | CUSIP: 863579R42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4424181 | PA      | $2298375.18     | 0.00%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $423348.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2007-AB1                                          | SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A1            | CUSIP: 84752CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26983799 | PA      | $12710052.06    | 0.01%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                              | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR               | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      8750000 | PA      | $9153812.50     | 0.00%             | 2033-04-10      | Floating      | 13.68%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.06-2 SP BRC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-229322.75     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2004-BNC2                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 M1           | CUSIP: 86358ENJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       512216 | PA      | $499597.80      | 0.00%             | 2034-12-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| KINBANE 2022-RPL 1 DAC  22-RPL1A                                                 | KINBANE DAC KINBN 2022 RPL1A C 144A                        | CUSIP: ACI278DW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     19800000 | PA      | $23713451.80    | 0.01%             | 2062-09-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-D                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 D 1A1            | CUSIP: 05949A4G2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       664460 | PA      | $561556.93      | 0.00%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A D 144A          | CUSIP: 21050QAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15925000 | PA      | $16168864.30    | 0.01%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.50000 03/18/26-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2785480.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-24                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 2A1A          | CUSIP: 12667GNV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1058589 | PA      | $985909.95      | 0.00%             | 2035-07-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE6140 FN 10/25 FIXED 3.5                        | CUSIP: 31419GZE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          124 | PA      | $123.55         | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL2 TRUST                                                             | ATLX TRUST ATLX 2024 RPL2 A1 144A                          | CUSIP: 049919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13916579 | PA      | $13433769.98    | 0.01%             | 2063-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 1A1                 | CUSIP: 46628LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84413 | PA      | $56705.94       | 0.00%             | 2036-06-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2225 G2 09/44 FIXED 4.5                     | CUSIP: 36179QPJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6285 | PA      | $6241.35        | 0.00%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A          | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       718243 | PA      | $699041.39      | 0.00%             | 2034-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A2          | CUSIP: 021468AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59890 | PA      | $24302.39       | 0.00%             | 2036-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-1F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 1F 3A1                    | CUSIP: 3622MPAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        36404 | PA      | $21642.00       | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA STRUCTURED SECURITIES TRUST 2025-S2                           | FINANCE OF AMERICA STRUCTURED FASST 2025 S2 A1 144A        | CUSIP: 31739XAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560423185 | PA      | $543960753.60   | 0.27%             | 2075-07-25      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A          | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28700000 | PA      | $26146454.81    | 0.01%             | 2038-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES1                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES1 A1A 144A          | CUSIP: 89183CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28155995 | PA      | $28375082.68    | 0.01%             | 2064-01-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A15         | CUSIP: 02147QAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       894459 | PA      | $502662.23      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-145                                                       | FANNIE MAE FNR 2012 145 CI                                 | CUSIP: 3136AAX26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       550981 | PA      | $10722.59       | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XIV-B LTD                                                     | NORTHWOODS CAPITAL LTD WOODS 2018 14BA AR 144A             | CUSIP: 66860CAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1552278 | PA      | $1555096.47     | 0.00%             | 2031-11-13      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-OPT                                                             | GSAMP TRUST GSAMP 2004 OPT M1                              | CUSIP: 36242DNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1151503 | PA      | $1115970.53     | 0.00%             | 2034-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/37 3.75      | CUSIP: ACI2V6MH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     35400000 | PA      | $41160741.62    | 0.02%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256310 FN 07/26 FIXED 6.5                        | CUSIP: 31371MVB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12089 | PA      | $12476.65       | 0.00%             | 2026-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 11/33 VAR                   | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     19750000 | PA      | $24753073.16    | 0.01%             | 2033-11-15      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/0.711* 04/27/22-20Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $13439581.43    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3131 FN 09/27 FIXED 3                          | CUSIP: 31418CPR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        86317 | PA      | $85432.81       | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A13         | CUSIP: 02150EAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1230147 | PA      | $603779.43      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $3379803.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                          | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A2D 144A        | CUSIP: 288547AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1044107 | PA      | $1031047.66     | 0.00%             | 2037-05-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST 2005-4                                             | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 4 6A1              | CUSIP: 61748HKL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1062847 | PA      | $568332.39      | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE8659 FR 08/52 FIXED 4                  | CUSIP: 3133BJTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       342066 | PA      | $322916.79      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 670551 FN 08/32 FIXED 6.5                        | CUSIP: 31391L5L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          675 | PA      | $697.85         | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-9                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 9 1A1             | CUSIP: 86364JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2739386 | PA      | $2504507.14     | 0.00%             | 2037-10-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.90000 04/04/22-6Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-33142564.62   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R4                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R4 M5             | CUSIP: 03072SC60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1450000 | PA      | $1387116.11     | 0.00%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL5                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL5 A1 144A        | CUSIP: 12655JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306538604 | PA      | $298873176.74   | 0.15%             | 2076-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED 144A 02/27 8.125               | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     45340000 | PA      | $43377468.07    | 0.02%             | 2027-02-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256571 FN 12/26 FIXED 6.5                        | CUSIP: 31371M6G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13475 | PA      | $13908.39       | 0.00%             | 2026-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD1782 FN 02/55 FIXED 7                          | CUSIP: 3140B16U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       419642 | PA      | $440209.90      | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A1 144A         | CUSIP: 69547DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22777019 | PA      | $22792111.17    | 0.01%             | 2026-06-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A1                 | CUSIP: 46630GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        72492 | PA      | $68783.23       | 0.00%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                                     | CIFI HOLDINGS GROUP COMPANY GUAR REGS 10/25 5.95           | CUSIP: ACI1P1TB8<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |      2600000 | PA      | $269750.00      | 0.00%             | 2025-10-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-17                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 17 1A1                    | CUSIP: 12544KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4198787 | PA      | $2878570.11     | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 1A1                  | CUSIP: 126670JP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2596222 | PA      | $2278628.47     | 0.00%             | 2036-02-20      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8487 G2 12/52 FIXED 3.5                     | CUSIP: 36179XNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13446776 | PA      | $12292713.38    | 0.01%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10                          | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA10 2A1         | CUSIP: 32051GA88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       744367 | PA      | $563918.85      | 0.00%             | 2035-12-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.45000 10/31/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3571183.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                                              | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A         | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     77600000 | PA      | $77891400.42    | 0.04%             | 2035-01-18      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0770 FN 11/47 FIXED 3.5                        | CUSIP: 3140Q72C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9923742 | PA      | $9219973.77     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-A                                                        | CENTEX HOME EQUITY CXHE 2005 A M1                          | CUSIP: 152314MH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4848 | PA      | $4850.51        | 0.00%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| NRPL-2019-1A                                                                     | NRPL TRUST SERIES NRPL 2019 1A SA 144A                     | CUSIP: 62947EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       326363 | PA      | $320929.48      | 0.00%             | 2058-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HERITAGE AUTO RECEIVABLES TRUST 2025-1A                                 | AMERICAN HERITAGE AUTO RECEIVA AHART 2025 1A A2 144A       | CUSIP: 02650VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19600000 | PA      | $19658186.52    | 0.01%             | 2028-08-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-431401.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE4                                                     | ACE SECURITIES CORP. ACE 2007 HE4 A1                       | CUSIP: 00442LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19553131 | PA      | $2965867.80     | 0.00%             | 2037-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 12/29 1.604          | CUSIP: ACI2J6N85<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     11200000 | PA      | $8049055.39     | 0.00%             | 2029-12-23      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SR UNSECURED 11/28 VAR            | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     31580000 | PA      | $31271251.18    | 0.02%             | 2028-11-03      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-79                                                               | FANNIE MAE FNR 1997 79 PL                                  | CUSIP: 31359RAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          620 | PA      | $621.60         | 0.00%             | 2027-12-18      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J12                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J12 1A2          | CUSIP: 12668ASQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3199250 | PA      | $1509494.60     | 0.00%             | 2035-11-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VII LTD 2017-7A                                                     | TRINITAS CLO LTD TRNTS 2017 7A A1R2 144A                   | CUSIP: 89641CAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5016706.15     | 0.00%             | 2035-01-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 21A1         | CUSIP: 07389QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28212 | PA      | $14093.25       | 0.00%             | 2036-10-25      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-3                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 3 M5               | CUSIP: 29445FCB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       314491 | PA      | $311981.09      | 0.00%             | 2034-12-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $432.36         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8290 FR 01/53 FIXED 6                  | CUSIP: 3132DWF73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1338375 | PA      | $1374296.54     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2006-RS4                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS4 M1            | CUSIP: 75156WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6768914 | PA      | $6620154.02     | 0.00%             | 2036-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/31 7              | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   8454150000 | PA      | $464376130.46   | 0.23%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9044 FN 11/47 FIXED 4                          | CUSIP: 3140GYBN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89994 | PA      | $86519.40       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR3                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A1           | CUSIP: 39538WHF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7376634 | PA      | $6627191.49     | 0.00%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-3A                                            | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A2 144A       | CUSIP: 16678RBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       169551 | PA      | $165450.67      | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3427 FN 09/31 FIXED VAR                        | CUSIP: 3140J7YZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4970 | PA      | $4818.85        | 0.00%             | 2031-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9829 FN 06/47 FIXED 3.5                        | CUSIP: 3138WK4P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45678 | PA      | $42653.15       | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-7                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 7 2A1A           | CUSIP: 411640AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10060236 | PA      | $9436360.85     | 0.00%             | 2037-10-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889529 FN 03/38 FIXED VAR                        | CUSIP: 31410KHE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51110 | PA      | $53888.01       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR2                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR2 A1            | CUSIP: 39538RBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1137446 | PA      | $903763.88      | 0.00%             | 2045-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A9           | CUSIP: 02147BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3167849 | PA      | $1297717.23     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 2A4           | CUSIP: 542512AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22218514 | PA      | $7638798.59     | 0.00%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 21 A13                    | CUSIP: 12543PAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1963637 | PA      | $853327.81      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50343 FG 08/47 FIXED 4                  | CUSIP: 3132XSLZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46264 | PA      | $44537.23       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0869 FN 07/45 FIXED 4                          | CUSIP: 3138YR6F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51866 | PA      | $50006.26       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP MYC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1.22           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MF3              | CUSIP: 126673Z47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4633581.00     | 0.00%             | 2035-10-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 SA 144A      | CUSIP: 36265TAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       248619 | PA      | $237004.19      | 0.00%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 6 1A1                  | CUSIP: 073868AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3717138 | PA      | $3239748.75     | 0.00%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2023-2A                                                         | FIRST HELP FINANCIAL LLC FHF 2023 2A A2 144A               | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10784427 | PA      | $10920434.89    | 0.01%             | 2029-10-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2006-3                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2006 3 A4             | CUSIP: 61749GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9857676 | PA      | $6891883.78     | 0.00%             | 2036-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-8                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 8 M1              | CUSIP: 86358EXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14733879 | PA      | $14480981.99    | 0.01%             | 2035-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1775 FN 11/25 FIXED 3.5                        | CUSIP: 31416W6M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15988 | PA      | $15939.68       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 10/25 0.00000                                | CUSIP: 912797QF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20253000 | PA      | $20218831.57    | 0.01%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC7535 FN 01/55 FIXED 7                          | CUSIP: 3140AVLR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1419806 | PA      | $1493977.00     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2000 FN 05/47 FIXED VAR                        | CUSIP: 3140J6GJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41686 | PA      | $38975.56       | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 A1 144A        | CUSIP: 12662NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264285394 | PA      | $233976193.37   | 0.12%             | 2061-05-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4083 FN 06/53 FIXED 5.5                        | CUSIP: 3140NLRD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       761948 | PA      | $773800.61      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7598 FN 10/46 FIXED 3.5                        | CUSIP: 3140FFNQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5763 | PA      | $5386.90        | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2006-1                                                           | CHASEFLEX TRUST CFLX 2006 1 A4                             | CUSIP: 16165LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8223058 | PA      | $7303917.90     | 0.00%             | 2036-06-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 B1 144A       | CUSIP: 17329YAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30997550 | PA      | $23621630.28    | 0.01%             | 2061-05-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/28 2.172               | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     51800000 | PA      | $48957403.00    | 0.02%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-149                                                       | FANNIE MAE FNR 2012 149 NI                                 | CUSIP: 3136AA4K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1215428 | PA      | $88623.81       | 0.00%             | 2042-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2371 FN 08/45 FIXED 4                          | CUSIP: 31418BT55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3194 | PA      | $3075.46        | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1           | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6501 | PA      | $5546.86        | 0.00%             | 2036-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 B2 144A        | CUSIP: 12653HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113040297 | PA      | $77157011.20    | 0.04%             | 2057-07-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                                     | ACE SECURITIES CORP. ACE 2006 NC3 A1A                      | CUSIP: 00442EAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32124809 | PA      | $17011483.97    | 0.01%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 05/30 5.15                          | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     35000000 | PA      | $35927433.50    | 0.02%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL1 A2C          | CUSIP: 17311VAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4952626 | PA      | $4923297.01     | 0.00%             | 2036-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4624 FN 06/47 FIXED 4                          | CUSIP: 3140GTD64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       449344 | PA      | $432019.77      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 1A2          | CUSIP: 07387YAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29266000 | PA      | $25821602.52    | 0.01%             | 2037-08-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                                   | ADLER GROUP SA   VTG SHS COMMON STOCK                      | CUSIP: ACI2RMKR2<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | EP               | CORP              | LU        |       520871 | NS      | $0.61           | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A X2                           | CUSIP: ACI2NGD30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |         2288 | PA      | $0.00           | 0.00%             | 2058-06-28      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $23689.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H18                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H18 FA             | CUSIP: 38376RXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3468116 | PA      | $3475373.13     | 0.00%             | 2066-08-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7050 FN 11/25 FIXED 4                          | CUSIP: 31419HZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          215 | PA      | $214.78         | 0.00%             | 2025-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2005-BC4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC4 M7             | CUSIP: 1266737F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       246931 | PA      | $245313.68      | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE6                                                             | GSAMP TRUST GSAMP 2006 HE6 A2                              | CUSIP: 36245AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4200036 | PA      | $3610328.02     | 0.00%             | 2036-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-2 LTD                                                         | WELLFLEET CLO LTD WELF 2021 2A A1R 144A                    | CUSIP: 95023AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     58600000 | PA      | $58734922.98    | 0.03%             | 2034-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/32 0.625                                | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1209304860 | PA      | $1144993821.96  | 0.57%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8966 FN 03/47 FIXED 4                          | CUSIP: 3138WJ6C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20489 | PA      | $19713.72       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.25500 10/23/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2326062.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B A1A 144A         | CUSIP: 78450CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45290984 | PA      | $46627878.66    | 0.02%             | 2052-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | ILLINOIS ST ILS 04/35 FIXED 6.725                          | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      5615385 | PA      | $5969758.09     | 0.00%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD1600 FN 07/46 FIXED 4                          | CUSIP: 3140F8X69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       143525 | PA      | $138066.67      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC2                                                            | GSAMP TRUST GSAMP 2005 WMC2 M1                             | CUSIP: 362341VA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7988244 | PA      | $7833598.77     | 0.00%             | 2035-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-3                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 3 1A1            | CUSIP: 05954CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        70583 | PA      | $58351.57       | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1           | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2566504 | PA      | $2449869.53     | 0.00%             | 2045-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH4089 FN 02/26 FIXED 3.5                        | CUSIP: 3138A5RK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2261 | PA      | $2251.78        | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 545762 FN 07/32 FIXED VAR                        | CUSIP: 31385JJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1455 | PA      | $1522.16        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 09/39 5.125          | CUSIP: B1FGYYII6<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     14500000 | PA      | $13656809.45    | 0.01%             | 2039-09-28      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TR 2005-A2                                            | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 A2 3A1           | CUSIP: 46627MBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1677908 | PA      | $1034746.69     | 0.00%             | 2036-01-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6802 FN 03/46 FIXED 3.5                        | CUSIP: 3138WGRY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98165 | PA      | $92137.55       | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0709 FN 09/47 FIXED 4                          | CUSIP: 3140Q7YF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5099884 | PA      | $4904590.06     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8686 FR 02/53 FIXED 5.5                | CUSIP: 3133BWUK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       707820 | PA      | $719497.39      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/53 1.5                                  | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    339056640 | PA      | $271648402.88   | 0.13%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6171 FN 02/48 FIXED 3.5                        | CUSIP: 3140H72D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       400792 | PA      | $372367.80      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPT CORP 2006-AF2                                                | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AF2 1A3            | CUSIP: 65536VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3919735 | PA      | $1020281.96     | 0.00%             | 2036-08-25      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $4359.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SEC 2007-3                                         | MERRILL LYNCH MORTGAGE BACKED MLMBS 2007 3 2A1             | CUSIP: 59025JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3295948 | PA      | $1902798.93     | 0.00%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL6                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL6 SA 144A        | CUSIP: 12654UAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       482623 | PA      | $468226.95      | 0.00%             | 2058-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-2F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 2F 3A6                    | CUSIP: 362334BP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       343335 | PA      | $146843.04      | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-AR1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 AR1 2A3A         | CUSIP: 12668A4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10556538 | PA      | $9832363.61     | 0.00%             | 2035-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4879 FN 04/46 FIXED 3.5                        | CUSIP: 3140E9M52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15682 | PA      | $14660.71       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                                | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/27 5.375     | CUSIP: P7807HAC9<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    105630000 | PA      | $17217690.00    | 0.01%             | 2027-04-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5050 FR 05/40 FIXED 3.5                | CUSIP: 3133KYTF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       320761 | PA      | $307116.75      | 0.00%             | 2040-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US LONG BOND(CBT) DEC25 XCBT 20251219                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -57086 | NC      | $-138465813.49  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1487 FN 02/48 FIXED 3.5                        | CUSIP: 3140HEUM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       197301 | PA      | $183309.81      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-SD1                                                     | ACE SECURITIES CORP. ACE 2006 SD1 M1                       | CUSIP: 004421XW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1280128 | PA      | $1207602.76     | 0.00%             | 2036-02-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ0052 FR 10/53 FIXED 6.5                | CUSIP: 3142GQBW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94282 | PA      | $97742.63       | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2024-B                                         | WORLD OMNI AUTO RECEIVABLES TR WOART 2024 B A2A            | CUSIP: 98164HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       672774 | PA      | $673362.33      | 0.00%             | 2027-09-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                                | CIM TRUST CIM 2024 R1 A2 144A                              | CUSIP: 17179VAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25748000 | PA      | $24828093.48    | 0.01%             | 2064-06-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RPL1 A1 144A                   | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12340826 | PA      | $12187279.00    | 0.01%             | 2064-12-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H07 GA             | CUSIP: 38375BQ70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       112140 | PA      | $112149.99      | 0.00%             | 2063-03-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.30000 01/17/24-2Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $28275468.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080777 G2 12/33 FLOATING VAR                  | CUSIP: 36225C2K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1765 | PA      | $1773.21        | 0.00%             | 2033-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2025-A                                                     | SBNA AUTO LEASE TRUST SBALT 2025 A A3 144A                 | CUSIP: 78437KAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34100000 | PA      | $34373898.02    | 0.02%             | 2028-04-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-9                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 9 1AF6             | CUSIP: 12666RAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4137 | PA      | $4599.43        | 0.00%             | 2046-10-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2005-NC5                                              | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC5 M2            | CUSIP: 144531DP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       623345 | PA      | $612801.72      | 0.00%             | 2035-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                                   | ARGENT SECURITIES INC. ARSI 2006 W3 A2C                    | CUSIP: 040104SR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6485438 | PA      | $2032937.14     | 0.00%             | 2036-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0407 FN 09/47 FIXED 3.5                        | CUSIP: 3140Q7NZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       132583 | PA      | $123536.21      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                             | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A    | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4057960000 | PA      | $4057960000.00  | 2.00%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A1            | CUSIP: 00075WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39577861 | PA      | $28664119.35    | 0.01%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A B1 144A         | CUSIP: 64830TAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9893882 | PA      | $9633682.35     | 0.00%             | 2059-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2024-A                                               | SBNA AUTO RECEIVABLES TRUST SBAT 2024 A A4 144A            | CUSIP: 78437PAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12600000 | PA      | $12729147.48    | 0.01%             | 2029-04-16      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                                  | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A                 | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27378 | PA      | $26975.70       | 0.00%             | 2040-05-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| SABINE RE LTD                                                                    | SABINE RE LTD UNSECURED 144A 04/31 VAR                     | CUSIP: 785628AA6<br>LEI: 254900FU1Z2XK88D3602 | Long             | DBT              | CORP              | BM        |      6600000 | PA      | $6955080.00     | 0.00%             | 2031-04-07      | Floating      | 12.45%                | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1            | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1543477 | PA      | $759125.75      | 0.00%             | 2036-03-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52847 FG 12/47 FIXED 3.5                | CUSIP: 3132XVEV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13350 | PA      | $12472.41       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-IM3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 IM3 A4             | CUSIP: 126670JE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24252795 | PA      | $21293655.86    | 0.01%             | 2036-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A1                 | CUSIP: 46630GAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10138 | PA      | $10171.80       | 0.00%             | 2035-07-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8169 FN 08/47 FIXED 3.5                        | CUSIP: 3140GXCF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10648 | PA      | $9867.89        | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-EQ1A                                              | STRUCTURED ASSET SECURITIES CO SASC 2006 EQ1A M1 144A      | CUSIP: 86360RAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21480282 | PA      | $21630291.47    | 0.01%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                          | ACHV ABS TRUST ACHV 2024 3AL A 144A                        | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2504468 | PA      | $2528613.51     | 0.00%             | 2031-12-26      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ2973 FN 11/32 FIXED 2.5                        | CUSIP: 3140H4JT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1783 | PA      | $1709.93        | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-4CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 4CB 1A2          | CUSIP: 12668BPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1741984 | PA      | $803480.64      | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3981 FN 04/50 FIXED VAR                        | CUSIP: 3140X7M71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11862894 | PA      | $10602833.38    | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE5                                               | MASTR ASSET BACKED SECURITIES MABS 2006 HE5 A2             | CUSIP: 576455AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12986531 | PA      | $7682246.22     | 0.00%             | 2036-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08631 FG 03/45 FIXED 3                  | CUSIP: 3128MJVZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21865 | PA      | $19978.10       | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-284207.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR2                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR2 A1A          | CUSIP: 93934FMN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21888454 | PA      | $19890817.73    | 0.01%             | 2046-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-EC1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 EC1 M3           | CUSIP: 07387UAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3765315 | PA      | $3736661.74     | 0.00%             | 2035-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8496 FN 03/53 FIXED 5.5                        | CUSIP: 3140NDNN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8635212 | PA      | $8759675.85     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2609 FN 05/46 FIXED 3.5                        | CUSIP: 31418B3T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27240 | PA      | $25500.27       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9370 FN 10/47 FIXED 3.5                        | CUSIP: 3140GYMU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6658 | PA      | $6235.74        | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                             | GSAMP TRUST GSAMP 2006 FM3 A2B                             | CUSIP: 36245TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21653329 | PA      | $10116385.73    | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8301 FR 02/53 FIXED 6                  | CUSIP: 3132DWGJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1016456 | PA      | $1043669.05     | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TR 2005-5                                                         | PRIME MORTGAGE TRUST PRIME 2005 5 1A1                      | CUSIP: 74160MLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60648 | PA      | $58615.10       | 0.00%             | 2034-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 11/36 3.187                 | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      7241000 | PA      | $6182106.57     | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7190 FR 03/30 FIXED 3                  | CUSIP: 3132A77B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39805 | PA      | $39126.38       | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $377166.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA7585 FN 03/46 FIXED 4                          | CUSIP: 3140ECNB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       209088 | PA      | $201201.22      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260615                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $28798.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68700 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-667040.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLETCHLEY PARK FUNDING 2024-1 PLC 24-1                                           | BLETCHLEY PARK FUNDING BPKF 2024 1 A REGS                  | CUSIP: ACI2Q8963<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     15531925 | PA      | $21013668.09    | 0.01%             | 2070-07-27      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                                   | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 4A1               | CUSIP: 466247XN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4378 | PA      | $3328.26        | 0.00%             | 2035-10-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901457 FN 10/36 FIXED 6.5                        | CUSIP: 31410YQJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1015 | PA      | $1065.35        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5927 FN 03/48 FIXED 3.5                        | CUSIP: 3140H7SR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1570741 | PA      | $1468765.89     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.03000 01/07/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1396211.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-HE2                                                             | GSAMP TRUST GSAMP 2007 HE2 A2C                             | CUSIP: 362440AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10862401 | PA      | $8229133.32     | 0.00%             | 2047-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $5501.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1                 | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3135326 | PA      | $1714392.58     | 0.00%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-2089.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7531 FN 09/28 FIXED VAR                        | CUSIP: 3138EQLM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1426 | PA      | $1412.28        | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5273 FN 01/48 FIXED VAR                        | CUSIP: 3140J92F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12139 | PA      | $11677.79       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2020-1 CLASS A PASS THROUGH TRUST                                | BRITISH AIR 20 1 A PTT PASS THRU CE 144A 05/34 4.25        | CUSIP: 11044MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10326295 | PA      | $10089578.00    | 0.00%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3907 FN 11/44 FIXED 4                          | CUSIP: 3138WDKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12525 | PA      | $12076.14       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.30000 06/14/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-6406873.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2024-NPL5 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL5 A1 144A      | CUSIP: 74143QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25462974 | PA      | $25497947.17    | 0.01%             | 2054-09-25      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2024-2 DAC 24-2A                                             | GROSVENOR PLACE CLO GROSV 2024 2A A 144A                   | CUSIP: ACI2RYX19<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     78600000 | PA      | $92515983.13    | 0.05%             | 2039-01-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.77000 04/29/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1181732.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080567 G2 01/32 FLOATING VAR                  | CUSIP: 36225CTZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14551 | PA      | $14560.33       | 0.00%             | 2032-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR10                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR10 A1           | CUSIP: 45660LKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2769613 | PA      | $2219667.66     | 0.00%             | 2035-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| EDUCATION FUNDING TRUST 2018-A-GS TRUST                                          | EDUCATION FUNDING TRUST EFT 2018 AGS D 144A                | CUSIP: 28140WAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32898548 | PA      | $32601517.30    | 0.02%             | 2050-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q57442 FG 07/48 FIXED 3.5                | CUSIP: 3132Y1HU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2270125 | PA      | $2110194.82     | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2007-2                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 2 2A1A           | CUSIP: 41164LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9498043 | PA      | $7655435.97     | 0.00%             | 2038-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR19                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR19 A1           | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4581459 | PA      | $3682963.85     | 0.00%             | 2035-10-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.41000 09/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1663189.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4011 FN 05/30 FIXED 3                          | CUSIP: 31418DN57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       100500 | PA      | $98803.80       | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DUTCH PROPERTY FINANCE 23-1                                                      | DUTCH PROPERTY FINANCE DPF 2023 1 A REGS                   | CUSIP: ACI2CMRY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      4634256 | PA      | $5471628.30     | 0.00%             | 2064-04-28      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2850 FN 12/46 FIXED 4                          | CUSIP: 3140FNEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137057 | PA      | $132130.22      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-148252.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                          | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 C 144A        | CUSIP: 69544PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5434873 | PA      | $5450343.96     | 0.00%             | 2032-04-15      | Fixed         | 5.82%                 | No            |                  3 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                                          | BCAP LLC TRUST BCAP 2010 RR1 4A6 144A                      | CUSIP: 05532TBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3079548 | PA      | $2565145.52     | 0.00%             | 2047-05-26      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 10/31 4.75                          | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     46500000 | PA      | $46539188.34    | 0.02%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 B 144A         | CUSIP: 69544AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6368584 | PA      | $6416147.97     | 0.00%             | 2032-07-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| GCCT-2021-1A                                                                     | GOLDEN CREDIT CARD TRUST GCCT 2021 1A A 144A               | CUSIP: 380881FB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179500000 | PA      | $175257338.00   | 0.09%             | 2028-08-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0163 FN 12/47 FIXED 3.5                        | CUSIP: 3140H1FD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       413593 | PA      | $384819.69      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                           | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M5           | CUSIP: 04541GUS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16330000 | PA      | $14492731.30    | 0.01%             | 2035-11-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7476 FN 08/47 FIXED 4                          | CUSIP: 3140GWJW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       389619 | PA      | $374341.83      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE4                                                     | ACE SECURITIES CORP. ACE 2005 HE4 M5                       | CUSIP: 004421PU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9666946 | PA      | $9552385.25     | 0.00%             | 2035-07-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE3                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE3 A3            | CUSIP: 590212AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13918557 | PA      | $3655464.00     | 0.00%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-1A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A A1 144A       | CUSIP: 16678RCT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1322159 | PA      | $1269431.97     | 0.00%             | 2036-01-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $45987495.49    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-5050246.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A           | CUSIP: 761118CW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       283651 | PA      | $252954.95      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4141 FN 09/49 FIXED 3                          | CUSIP: 3140QBS74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56952747 | PA      | $51231825.02    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-RPL3                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL3 A1 144A        | CUSIP: 12651YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15522741 | PA      | $14845092.33    | 0.01%             | 2057-08-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC3298 FN 05/46 FIXED 4                          | CUSIP: 3140EXUY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19916 | PA      | $19146.11       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A R 144A          | CUSIP: 83407UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10091839 | PA      | $13654827.45    | 0.01%             | 2034-03-27      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C D 144A           | CUSIP: 83208DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71359000 | PA      | $68979419.97    | 0.03%             | 2055-03-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1743 FN 09/40 FIXED VAR                        | CUSIP: 3138EH5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3025187 | PA      | $3189517.69     | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A A3 144A            | CUSIP: 37989AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9700000 | PA      | $9732188.48     | 0.00%             | 2028-04-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2022 RPL2 SA 144A      | CUSIP: 36267WAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2902697 | PA      | $2530745.97     | 0.00%             | 2067-12-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2005-HE6                                             | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE6 M6           | CUSIP: 04541GTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3794000 | PA      | $3441526.78     | 0.00%             | 2035-07-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6821 G2 08/50 FIXED 3.5                     | CUSIP: 36179VSJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       599977 | PA      | $550593.81      | 0.00%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LABRADOR AVIATION FINANCE LTD 2016-1A                                            | LABRADOR AVIATION FINANCE LIMI LAFL 2016 1A A1 144A        | CUSIP: 50543LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       763819 | PA      | $744744.23      | 0.00%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-2                                    | NOVASTAR HOME EQUITY LOAN NHEL 2006 2 A2C                  | CUSIP: 66988VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1154790 | PA      | $856937.39      | 0.00%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/45 2.5                                  | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     77400000 | PA      | $55464960.74    | 0.03%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB1 FE 144A       | CUSIP: 05494AAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30080000 | PA      | $13957381.70    | 0.01%             | 2056-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                                                        | FANNIE MAE FNR 2019 62 SN                                  | CUSIP: 3136B62S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17466955 | PA      | $2386380.81     | 0.00%             | 2049-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                             | EUROSAIL PLC ESAIL 2007 3X A3C REGS                        | CUSIP: B23DWGII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       318781 | PA      | $428979.96      | 0.00%             | 2045-06-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES3                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES3 A1A 144A        | CUSIP: 749420AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44836033 | PA      | $45399764.99    | 0.02%             | 2055-03-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-8                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 8 1A             | CUSIP: 54251UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35964257 | PA      | $23135457.80    | 0.01%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A5                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A5 2A2                 | CUSIP: 466247SG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       264682 | PA      | $259849.78      | 0.00%             | 2035-08-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| SHACKLETON CLO LTD 2019-14A                                                      | SHACKLETON CLO LTD SHACK 2019 14A A1RR 144A                | CUSIP: 81880XAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     66800000 | PA      | $66904055.70    | 0.03%             | 2034-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5473 FN 09/54 FIXED 7                          | CUSIP: 31418FCK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999900 | PA      | $1047848.88     | 0.00%             | 2054-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 H 8A1             | CUSIP: 05946XJ95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1184246 | PA      | $1023673.05     | 0.00%             | 2035-11-20      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR2                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR2 A1            | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16463006 | PA      | $15458326.40    | 0.01%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2004-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2004 A1 1A1                 | CUSIP: 466247BL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1789 | PA      | $1645.95        | 0.00%             | 2034-02-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS8                                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS8 M6            | CUSIP: 76110W3W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4230000 | PA      | $4153654.00     | 0.00%             | 2035-08-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS9978 FR 09/46 FIXED 4.5                | CUSIP: 3132ABCP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11377 | PA      | $11298.76       | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A3            | CUSIP: 93935BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20631841 | PA      | $4351370.86     | 0.00%             | 2036-07-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8871 FN 03/47 FIXED 4                          | CUSIP: 3140FU2D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18387 | PA      | $18190.56       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875           | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     84815410 | PA      | $87245456.41    | 0.04%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX S A COMMON STOCK                          | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       207100 | NS      | $4487166.74     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| MDPK-2021-39A                                                                    | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A             | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10200000 | PA      | $10219326.65    | 0.01%             | 2034-10-22      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $54952.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M3           | CUSIP: 542514ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       285473 | PA      | $281913.85      | 0.00%             | 2035-08-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-7192771.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF1881 FR 10/52 FIXED 6                  | CUSIP: 3133BPCS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       315008 | PA      | $324556.59      | 0.00%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7755 FN 11/25 FIXED 3.5                        | CUSIP: 31419JTM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3092 | PA      | $3081.97        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7492 FN 07/46 FIXED 4                          | CUSIP: 3138WHKE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21770 | PA      | $20949.05       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA2045 FR 08/49 FIXED 3.5                | CUSIP: 31334YHW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1126481 | PA      | $1041150.39     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX0856 FN 01/53 FIXED 5.5                        | CUSIP: 3140N45S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       333687 | PA      | $339060.67      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                                  | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25              | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     60703000 | PA      | $14802426.55    | 0.01%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2005-2                                           | MASTR SEASONED SECURITIZATION MSSTR 2005 2 5A1             | CUSIP: 55265WDN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123597 | PA      | $121628.16      | 0.00%             | 2032-05-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-5X                                                   | SLM STUDENT LOAN TRUST SLMA 2004 5X A6 REGS                | CUSIP: B02JZGII4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3654655 | PA      | $4017019.44     | 0.00%             | 2039-10-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1798 FN 10/39 FIXED VAR                        | CUSIP: 3138EH7L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6482 | PA      | $6868.61        | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4418 FN 10/49 FIXED 3                          | CUSIP: 3140QB4C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46706270 | PA      | $41860067.72    | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECS CORP 2005-KS12                                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS12 M3           | CUSIP: 753910AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1541571 | PA      | $1529414.62     | 0.00%             | 2036-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54956 FG 03/48 FIXED 4                  | CUSIP: 3132XXQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4126657 | PA      | $3965932.35     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 1A2             | CUSIP: 86361JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5746200 | PA      | $3869564.92     | 0.00%             | 2036-09-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1         | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       420814 | PA      | $372941.38      | 0.00%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN0846 FN 10/48 FIXED 4                          | CUSIP: 3140JG5G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19814 | PA      | $19033.14       | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3539 FN 10/30 FIXED VAR                        | CUSIP: 3140J74Z5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13904 | PA      | $13729.71       | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2019 2 AA PTT PASS THRU CE 11/33 2.7            | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7996539 | PA      | $7350088.25     | 0.00%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-4                                                                | FANNIE MAE FNR 2007 4 SL                                   | CUSIP: 31396PMQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       237969 | PA      | $29066.82       | 0.00%             | 2037-02-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C R 144A           | CUSIP: 83208D107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        46859 | PA      | $586080.76      | 0.00%             | 2055-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-22                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 22 IO              | CUSIP: 38378BDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       841320 | PA      | $5.38           | 0.00%             | 2053-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC5 A3           | CUSIP: 07384YMC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15242 | PA      | $16208.50       | 0.00%             | 2033-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2005-G                                             | BANC OF AMERICA FUNDING CORPOR BAFC 2005 G A2              | CUSIP: 05946XC27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       539303 | PA      | $519802.21      | 0.00%             | 2035-10-20      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6108 FN 01/53 FIXED 5.5                        | CUSIP: 3140NAYE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2842101 | PA      | $2885991.22     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-2 CLASS A PASS THROUGH TRUST                              | AMERN AIRLINE 16 2 A PTT PASS THRU CE 12/29 3.65           | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3035000 | PA      | $2928587.44     | 0.00%             | 2029-12-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA YCRT 144A                    | CUSIP: ACI12VL90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         9500 | PA      | $21880.29       | 0.00%             | 2055-05-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $18718.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A1            | CUSIP: 05949CKQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       896266 | PA      | $806987.58      | 0.00%             | 2035-11-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2007-HE2                                     | MASTR ASSET BACKED SECURITIES MABS 2007 HE2 A1             | CUSIP: 57646LAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15662311 | PA      | $13841592.46    | 0.01%             | 2037-08-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 SA 144A       | CUSIP: 17329AAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       440148 | PA      | $424443.92      | 0.00%             | 2060-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4024                                                          | FREDDIE MAC FHR 4024 IO                                    | CUSIP: 3137ANKV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       326410 | PA      | $4734.32        | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5261 FN 01/48 FIXED VAR                        | CUSIP: 3140J9Z38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       204097 | PA      | $196292.75      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A5          | CUSIP: 12668BFE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        42816 | PA      | $24209.24       | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2572 FN 11/44 FIXED 4                          | CUSIP: 3138Y32E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7127 | PA      | $6884.29        | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                           | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2E           | CUSIP: 84751NAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8827771 | PA      | $4897264.06     | 0.00%             | 2037-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3767 FN 07/47 FIXED 3.5                        | CUSIP: 3140FPFH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1290591 | PA      | $1206400.30     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A2           | CUSIP: 12668AHF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2508058 | PA      | $2296829.15     | 0.00%             | 2035-11-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8241 FN 11/29 FIXED VAR                        | CUSIP: 3138ETEP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       119191 | PA      | $117838.17      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $4451874.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251204                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $17443.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2005-NC2                                              | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC2 M6            | CUSIP: 144531BZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9928741 | PA      | $9575369.94     | 0.00%             | 2035-05-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6962 FN 03/46 FIXED 3.5                        | CUSIP: 3140EBWY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       122305 | PA      | $115048.70      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-431401.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANKAMERICA MANUF HOUSING CONTR 1998-2                                           | BANKAMERICA MANUFACTURED HOUSI BAMH 1998 2 B1              | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5000000 | PA      | $429135.00      | 0.00%             | 2025-12-10      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A4 144A       | CUSIP: 14686TAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38537000 | PA      | $39242469.88    | 0.02%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2342 FN 07/45 FIXED 4                          | CUSIP: 31418BS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44944 | PA      | $43290.44       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR8 A1            | CUSIP: 86359LGE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       388900 | PA      | $373757.99      | 0.00%             | 2035-05-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8518 FR 03/55 FIXED 7                  | CUSIP: 3132DWPB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    197000122 | PA      | $206299396.68   | 0.10%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH5620 FN 02/26 FIXED 4                          | CUSIP: 3138A7G69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          372 | PA      | $371.00         | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 LTD                                                               | ACREC 2021 FL1 LTD. ACREC 2021 FL1 A 144A                  | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6454584 | PA      | $6449934.69     | 0.00%             | 2036-10-16      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6067 FN 08/53 FIXED 6                          | CUSIP: 3140NNW50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       979435 | PA      | $1005153.55     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847133 FH 04/33 FLOATING VAR             | CUSIP: 3128HD4S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          441 | PA      | $450.45         | 0.00%             | 2033-04-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8296 FN 01/48 FIXED 3.5                        | CUSIP: 3140HAGE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       940728 | PA      | $872118.19      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.30000 12/02/24-4Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3554305.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA R 144A         | CUSIP: 21050UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18246089 | PA      | $9102402.24     | 0.00%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A1              | CUSIP: 86360WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30543925 | PA      | $17715506.82    | 0.01%             | 2036-07-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1999-25                                                               | FANNIE MAE FNR 1999 25 Z                                   | CUSIP: 31359VU27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77072 | PA      | $78271.12       | 0.00%             | 2029-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2003-K                                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 K 2A1            | CUSIP: 05948XZG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17540 | PA      | $17214.64       | 0.00%             | 2033-12-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                           | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M6             | CUSIP: 57643LJK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1996012.20     | 0.00%             | 2035-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2007-HE1                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2007 HE1 A2            | CUSIP: 45073DAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10135019 | PA      | $2084989.30     | 0.00%             | 2037-05-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2002-1                                                 | GSMPS MORTGAGE LOAN TRUST GSMPS 2002 1 A1                  | CUSIP: 36290PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7217584 | PA      | $6796363.91     | 0.00%             | 2032-10-20      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 1A1B                 | CUSIP: 1266943V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1637471 | PA      | $1428767.03     | 0.00%             | 2036-05-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K112                      | FHLMC MULTIFAMILY STRUCTURED P FHMS K112 X1                | CUSIP: 3137FUZX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    304293431 | PA      | $16726310.02    | 0.01%             | 2030-05-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTILITIES LIMITED 2021 GBP REVOLVER           | CUSIP: BA0008XV5<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | LON              | CORP              | GB        |     81278453 | PA      | $74331716.58    | 0.04%             | 2025-11-28      | Floating      | 5.36%                 | No            |                  3 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A A 144A          | CUSIP: 83407UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68109295 | PA      | $68518699.19    | 0.03%             | 2034-03-27      | Fixed         | 4.91%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7395 FN 08/47 FIXED 3.5                        | CUSIP: 3140GWGD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22899 | PA      | $21402.63       | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                            | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A1 144A       | CUSIP: 81376YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9611454 | PA      | $8259491.28     | 0.00%             | 2036-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $16040.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1B 144A         | CUSIP: 78450XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11828648 | PA      | $11933567.29    | 0.01%             | 2056-10-16      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                             | WSTN TRUST WSTN 2023 MAUI A 144A                           | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66300000 | PA      | $67646035.86    | 0.03%             | 2037-07-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TR 2004-J5                                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J5 M2            | CUSIP: 12667FLM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2004462 | PA      | $1985887.14     | 0.00%             | 2034-08-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                                  | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/26 11.75        | CUSIP: P17625AE7<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      6260000 | PA      | $1512416.00     | 0.00%             | 2026-10-21      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 2A4            | CUSIP: 12669QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7257930 | PA      | $7095392.65     | 0.00%             | 2037-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-3 2006-3A       | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2006 3A A2 144A       | CUSIP: 16678YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2879838 | PA      | $2511285.33     | 0.00%             | 2047-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1866 FR 04/49 FIXED 5                  | CUSIP: 3132AECB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1297054 | PA      | $1309060.21     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2036 FN 05/47 FIXED 4.5                        | CUSIP: 3140GQHN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2698 | PA      | $2642.87        | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251103                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-2137464.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 2A4             | CUSIP: 23246BAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15220020 | PA      | $14792533.89    | 0.01%             | 2047-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING A 2004-CB7                                          | CREDIT BASED ASSET SERVICING A CBASS 2004 CB7 M1           | CUSIP: 17307GLP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1451285 | PA      | $1393178.61     | 0.00%             | 2034-10-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-13583750.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-OPT1                                             | HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 1A           | CUSIP: 40431JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26129925 | PA      | $22680560.37    | 0.01%             | 2036-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10                             | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE10 21A2        | CUSIP: 07389RAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3970147 | PA      | $3903781.39     | 0.00%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6777 FN 05/46 FIXED 3.5                        | CUSIP: 3140F2Q78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69740 | PA      | $65313.44       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $101393.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MGTE PROD INC 2005-EFC7                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC7 AI4          | CUSIP: 76112BR77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19237545 | PA      | $17329101.25    | 0.01%             | 2035-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $522371.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                             | GSAMP TRUST GSAMP 2006 NC2 A1                              | CUSIP: 362463AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4894223 | PA      | $2768536.15     | 0.00%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA7                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA7 1A1          | CUSIP: 02146BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3248736 | PA      | $3019822.90     | 0.00%             | 2046-06-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-50CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 50CB 1A1         | CUSIP: 12668ALH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1326440 | PA      | $1087585.38     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2724 FN 05/47 FIXED 4.5                        | CUSIP: 3140GRA20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11018 | PA      | $10985.17       | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO3396 FN 05/27 FIXED 3                          | CUSIP: 3138LTX29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67916 | PA      | $67272.10       | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-3                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 3 7A1             | CUSIP: 576433LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       377680 | PA      | $377368.49      | 0.00%             | 2034-04-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4744 FN 01/48 FIXED 4                          | CUSIP: 3140H6HW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1817953 | PA      | $1747867.01     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR4                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR4 4A1A          | CUSIP: 39538WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1593303 | PA      | $1525176.27     | 0.00%             | 2045-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 2A1                  | CUSIP: 126670JV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       587807 | PA      | $547598.20      | 0.00%             | 2036-02-20      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| TRAPEZA CDO IX LTD 2005-9A                                                       | TRAPEZA CDO LLC TRAP 2005 9A A1 144A                       | CUSIP: 89413AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     16306267 | PA      | $15490953.79    | 0.01%             | 2040-01-27      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                                 | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E13                | CUSIP: 073866BK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2169802 | PA      | $1444265.94     | 0.00%             | 2036-08-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.00000 06/15/22-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $64931812.58    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5001 FR 07/39 FIXED 3.5                | CUSIP: 3133KYRW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       600730 | PA      | $577623.31      | 0.00%             | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5061 FR 07/40 FIXED 3.5                | CUSIP: 3133KYTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       255894 | PA      | $245068.41      | 0.00%             | 2040-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1869 FN 12/48 FIXED 3.5                        | CUSIP: 3140JWCF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43332 | PA      | $41318.24       | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                          | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 A 144A        | CUSIP: 69544PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2638497 | PA      | $2639726.40     | 0.00%             | 2032-04-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2A                                         | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2023 2A A2 144A       | CUSIP: 68269HAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18764000 | PA      | $18968779.04    | 0.01%             | 2036-09-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4927 FN 04/27 FIXED 3                          | CUSIP: 31417BPM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49959 | PA      | $49498.35       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 5 22A1                 | CUSIP: 07386HUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15560060 | PA      | $9720117.27     | 0.00%             | 2035-07-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD4461 FN 04/55 FIXED 7                          | CUSIP: 3140B45X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1028339 | PA      | $1078295.09     | 0.00%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9146 FN 02/40 FIXED VAR                        | CUSIP: 3140XDEU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       521826 | PA      | $502630.55      | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-2                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 2 1A               | CUSIP: 12668NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53078405 | PA      | $48491162.40    | 0.02%             | 2037-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB5                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB5 A3           | CUSIP: 12464YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15808 | PA      | $9430.02        | 0.00%             | 2037-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A1           | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5186702 | PA      | $4501361.18     | 0.00%             | 2046-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3384 FN 10/27 FIXED VAR                        | CUSIP: 3140J7XN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4864 | PA      | $4820.14        | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9279 FN 02/48 FIXED 3.5                        | CUSIP: 3140HBJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       908828 | PA      | $841462.15      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-2                                                | VERUS SECURITIZATION TRUST VERUS 2022 2 A1 144A            | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22554896 | PA      | $21728705.89    | 0.01%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51086 FG 10/47 FIXED 3.5                | CUSIP: 3132XTF45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       423281 | PA      | $393179.14      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A              | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     13146000 | PA      | $17489103.89    | 0.01%             | 2049-12-21      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A1                     | CUSIP: 12669GYY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9621074 | PA      | $8560266.10     | 0.00%             | 2035-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-8                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 8 A6             | CUSIP: 93935EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        52848 | PA      | $17734.54       | 0.00%             | 2036-10-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1                 | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       171817 | PA      | $95461.83       | 0.00%             | 2036-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA13 2A1          | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5775230 | PA      | $5089101.03     | 0.00%             | 2035-12-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THRU CERTIFICATIONS 2016-COR1                           | COMM MORTGAGE TRUST COMM 2016 COR1 XA                      | CUSIP: 12594MBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183763723 | PA      | $818502.00      | 0.00%             | 2049-10-10      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES / NOTE COMPANY GUAR 144A 01/28 4.5         | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3495000 | PA      | $3491559.21     | 0.00%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF2 LLC                                                               | PRP ADVISORS, LLC PRPM 2025 RCF2 A1 144A                   | CUSIP: 74448VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53014937 | PA      | $51997744.96    | 0.03%             | 2064-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $888283.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-2NU                    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 2NU A 144A       | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15870000 | PA      | $14524277.96    | 0.01%             | 2040-01-05      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM3 TRUST                                                             | PRP ADVISORS, LLC PRPM 2023 NQM3 A1 144A                   | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4893400 | PA      | $4945567.78     | 0.00%             | 2068-11-25      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                                    | GREYWOLF CLO LTD GWOLF 2020 3RA A2R2 144A                  | CUSIP: 39809CBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     32300000 | PA      | $32340887.28    | 0.02%             | 2033-04-22      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5841 FN 04/48 FIXED 3.5                        | CUSIP: 3140H7P35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       569005 | PA      | $525684.29      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2097 FN 10/45 FIXED 4                          | CUSIP: 3138YTKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45172 | PA      | $43453.88       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI7866 FN 08/41 FIXED 4                          | CUSIP: 3138AMW43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1289091 | PA      | $1244614.68     | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-1A                                                          | REACH FINANCIAL LLC REACH 2024 1A A 144A                   | CUSIP: 75526PAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       667977 | PA      | $668958.04      | 0.00%             | 2031-02-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A X 144A                       | CUSIP: ACI2V5FD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3454384 | PA      | $4633917.25     | 0.00%             | 2056-08-28      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-5698.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0912 FN 09/53 FIXED 6.5                        | CUSIP: 3140A1AN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       374287 | PA      | $388898.89      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.90 9/12/23-26Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $574171826.32   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOGIX CANADIAN ISSUER LP 2022-1CAN                                             | COLOGIX DATA CENTERS ISSUER LL CLGIX 2022 1CAN A2 144A     | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     20400000 | PA      | $14466307.39    | 0.01%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0753 FN 01/55 FIXED 7                          | CUSIP: 3140B0ZT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       618461 | PA      | $649057.36      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-OP1                                                     | ACE SECURITIES CORP. ACE 2006 OP1 A1A                      | CUSIP: 00442PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3586384 | PA      | $3504142.41     | 0.00%             | 2036-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 2A1A           | CUSIP: 17313QAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       809807 | PA      | $83997.83       | 0.00%             | 2037-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP UAG                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $68.82          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 1 A2                     | CUSIP: 43739EAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       203142 | PA      | $165703.15      | 0.00%             | 2035-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD9744 FN 12/25 FIXED 3.5                        | CUSIP: 31418XZJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5739 | PA      | $5717.62        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 1A1             | CUSIP: 86362TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1358590 | PA      | $1356778.41     | 0.00%             | 2037-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                                   | FREMONT HOME LOAN TRUST FHLT 2006 B 2A4                    | CUSIP: 35729QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7771636 | PA      | $2426479.74     | 0.00%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF6             | CUSIP: 75971EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       548079 | PA      | $179496.15      | 0.00%             | 2036-11-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3660 FN 05/39 FIXED 3.5                        | CUSIP: 31418DB68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58217 | PA      | $55972.19       | 0.00%             | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL1 A1A 144A    | CUSIP: 16159MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45593051 | PA      | $41015882.94    | 0.02%             | 2064-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535889 FN 04/31 FIXED VAR                        | CUSIP: 31384WKA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          612 | PA      | $631.71         | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MXN 8.78000 11/18/24-1Y* (WHT) CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $211227.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-NQM1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2023 NQM1 PT 144A      | CUSIP: 36267LAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337774432 | PA      | $341148157.18   | 0.17%             | 2063-06-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2006-RZ3                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RZ3 M1            | CUSIP: 75156MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13502610 | PA      | $13476455.68    | 0.01%             | 2036-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 A A2B             | CUSIP: 14319UAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29953544 | PA      | $29983671.34    | 0.01%             | 2028-05-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                            | BX TRUST BX 2022 LP2 A 144A                                | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12717206 | PA      | $12712796.44    | 0.01%             | 2039-02-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXI LTD / PREFERRED TERM SECURITIES XXI INC            | PREFERRED TERM SECS XXI SECURED 144A 03/38 VAR             | CUSIP: 74042JAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     25263998 | PA      | $23179718.21    | 0.01%             | 2038-03-22      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3306 FN 12/46 FIXED 4                          | CUSIP: 3140FNU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68526 | PA      | $65284.64       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP MYC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $85.89          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED REGS 07/31 3.061                    | CUSIP: N7163RAR4<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |       800000 | PA      | $726647.80      | 0.00%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251124                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-250146.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1           | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5657969 | PA      | $5190414.96     | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260602                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $10398.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 3A21            | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1290373 | PA      | $900449.89      | 0.00%             | 2035-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-1                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 1 2A1A           | CUSIP: 41164MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17911653 | PA      | $16673010.44    | 0.01%             | 2037-03-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-F                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 F A2                 | CUSIP: 5899292N7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5115 | PA      | $5052.71        | 0.00%             | 2028-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $168626.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR11                                                         | BCAP LLC TRUST BCAP 2012 RR11 2A4 144A                     | CUSIP: 05542AAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8518419 | PA      | $7684659.79     | 0.00%             | 2036-08-26      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-2                                               | HOME EQUITY ASSET TRUST HEAT 2002 2 M1                     | CUSIP: 22541NCU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        89208 | PA      | $88747.09       | 0.00%             | 2032-06-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $150025.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A Z 144A                          | CUSIP: ACI2M18R7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    123515000 | PA      | $71205637.52    | 0.04%             | 2035-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7          | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1767972000 | PA      | $567876445.78   | 0.28%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX6130 FN 11/44 FIXED 4                          | CUSIP: 3138Y7Y48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1721009 | PA      | $1658589.13     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                      | NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS                  | CUSIP: B2NDQFII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9198213 | PA      | $12162733.63    | 0.01%             | 2050-12-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 3A1           | CUSIP: 16163LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16328 | PA      | $16021.56       | 0.00%             | 2035-06-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS11                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS11 1A3          | CUSIP: 75115EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2614986 | PA      | $2147028.39     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.85500 11/19/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1368963.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.27000 08/21/23-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $4102274.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THEOREM FUNDING TRUST 2023-1A                                                    | THEOREM FUNDING TRUST THRM 2023 1A A 144A                  | CUSIP: 88338QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       963296 | PA      | $964421.09      | 0.00%             | 2029-04-15      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 1A1             | CUSIP: 007036HU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       130844 | PA      | $127245.60      | 0.00%             | 2035-07-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2007-1                                                       | LUDGATE FUNDING PLC LGATE 2007 1 A2B REGS                  | CUSIP: B1Z520II7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1317674 | PA      | $1499379.70     | 0.00%             | 2061-01-01      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR25                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR25 1A21         | CUSIP: 45660LQ93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       961025 | PA      | $518002.87      | 0.00%             | 2035-12-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5164 FN 03/47 FIXED 4                          | CUSIP: 3140FQW29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2888565 | PA      | $2767997.06     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A12                                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A12 A1            | CUSIP: 76113XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11790307 | PA      | $4190591.01     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q62293 FG 03/49 FIXED 3                  | CUSIP: 3132VNRP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10523 | PA      | $9373.99        | 0.00%             | 2049-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-3                                                          | MORTGAGEIT TRUST MHL 2005 3 A1                             | CUSIP: 61915RAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       595360 | PA      | $594718.47      | 0.00%             | 2035-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB3 A2            | CUSIP: 25151EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4609841 | PA      | $4023738.65     | 0.00%             | 2036-07-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0711 FN 01/55 FIXED 7                          | CUSIP: 3140B0YH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       725921 | PA      | $760906.49      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2006-AF1                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AF1 AV1A          | CUSIP: 59023RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5459307 | PA      | $4124046.38     | 0.00%             | 2036-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 07/30 VAR        | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     57892000 | PA      | $56970157.32    | 0.03%             | 2030-07-18      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8267 FR 11/52 FIXED 5                  | CUSIP: 3132DWFG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41053 | PA      | $40975.98       | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A X 144A                                | CUSIP: ACI2J9837<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      4005199 | PA      | $5384973.44     | 0.00%             | 2050-11-28      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90500 03/12/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2340693.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 9 1A1                  | CUSIP: 07386HKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        68710 | PA      | $67031.46       | 0.00%             | 2034-09-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST 2023-1                                                     | CCG RECEIVABLES TRUST CCG 2023 1 A2 144A                   | CUSIP: 12512XAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       961815 | PA      | $967057.68      | 0.00%             | 2030-09-16      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-8AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 8AR 3A             | CUSIP: 61748HEE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20882 | PA      | $20870.05       | 0.00%             | 2034-10-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-189789.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2661 FR 04/53 FIXED 5.5                | CUSIP: 3132DP5W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2353933 | PA      | $2388406.88     | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R11                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R11 M3            | CUSIP: 03072SV36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4308746 | PA      | $4251450.50     | 0.00%             | 2036-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/28 3.75             | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    176651500 | PA      | $173552446.21   | 0.09%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.3* 07/19/23-8Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6985797.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/21/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1042174.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM1 TRUST                                                             | GCAT GCAT 2024 NQM1 A1 144A                                | CUSIP: 36169HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12009943 | PA      | $12128078.93    | 0.01%             | 2059-01-25      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA1544 FR 10/49 FIXED 3.5                | CUSIP: 3133KGWD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       592709 | PA      | $547751.27      | 0.00%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $34321.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3614 FN 03/49 FIXED 3.5                        | CUSIP: 31418DAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2497 | PA      | $2311.81        | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                                   | ARGENT SECURITIES INC. ARSI 2004 W11 M3                    | CUSIP: 040104MG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1254879 | PA      | $1258854.85     | 0.00%             | 2034-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 2A4            | CUSIP: 54251MAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25167206 | PA      | $7293436.27     | 0.00%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5197 FN 03/47 FIXED 4                          | CUSIP: 3140FQX36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       493173 | PA      | $472420.43      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-42                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 42 2A4                    | CUSIP: 12669EH74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12917 | PA      | $12615.57       | 0.00%             | 2033-10-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-H                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 H 2A1            | CUSIP: 05949CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60067 | PA      | $52888.85       | 0.00%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6003 FN 02/47 FIXED 4                          | CUSIP: 3140FRU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       338166 | PA      | $322104.40      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 7 1A1                  | CUSIP: 073875AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2150109 | PA      | $1952475.15     | 0.00%             | 2046-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4363 FN 04/46 FIXED 3.5                        | CUSIP: 3140EYZ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1916 | PA      | $1794.00        | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LANDMARK MORTGAGE SECURITIES NO 3 PLC                                            | LANDMARK MORTGAGE SECURITIES P LMS 3 A REGS                | CUSIP: ACI0B57H7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     15925130 | PA      | $20891022.04    | 0.01%             | 2044-04-17      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3430 FN 01/26 FIXED 3.5                        | CUSIP: 3138A4Y41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          456 | PA      | $454.04         | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REGAL TRUST IV 1999-1                                                            | REGAL TRUST IV REGAL 1999 1 B1 144A                        | CUSIP: 758842AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16781 | PA      | $15850.07       | 0.00%             | 2031-09-29      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF3                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF3 M1             | CUSIP: 36228FU61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1858677 | PA      | $1815787.59     | 0.00%             | 2034-05-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6121 FN 11/45 FIXED 4                          | CUSIP: 3138WFYT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34040 | PA      | $32774.29       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 08/32 6.15                 | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    159768000 | PA      | $48781456.05    | 0.02%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                                 | WESTMORELAND MINING HOLDINGS L COMMON                      | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       143733 | NS      | $53900.01       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2025-NQM6                                           | BARC 2025 NQM6 SA 144A BARC 2025 NQM6 SA 144A              | CUSIP: 990AAWTE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48670 | PA      | $48726.02       | 0.00%             | 2075-10-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-713156.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/22/23-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $977386.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1662 FN 12/47 FIXED 3.5                        | CUSIP: 3140H2Z43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102962 | PA      | $95798.30       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8              | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1169600000 | PA      | $67969539.78    | 0.03%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS STRUCTURED PRODUCTS INC 2007-R8                                     | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R8 6A1A           | CUSIP: 07402PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29892124 | PA      | $9910162.91     | 0.00%             | 2037-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3245 G2 11/45 FIXED 4                       | CUSIP: 36179RTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       364858 | PA      | $350515.44      | 0.00%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $25112192.34    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES6                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES6 A1A 144A        | CUSIP: 748949AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75106031 | PA      | $75914201.45    | 0.04%             | 2055-06-25      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST 2007-AR1                                     | BEAR STEARNS MORTGAGE FUNDING BSMF 2007 AR1 2A3            | CUSIP: 07401MAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7158960 | PA      | $6751085.05     | 0.00%             | 2037-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES 2019-600C                                                 | GSCG TRUST GSCG 2019 600C A 144A                           | CUSIP: 36260TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12950000 | PA      | $10357863.25    | 0.01%             | 2034-09-06      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA3257 FR 10/49 FIXED 3                  | CUSIP: 31339STN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2397447 | PA      | $2145802.52     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2C           | CUSIP: 00075WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50006582 | PA      | $28173408.14    | 0.01%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR            | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      6200000 | PA      | $6490464.11     | 0.00%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9412 FN 03/53 FIXED 5                          | CUSIP: 3140NEN68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26751843 | PA      | $26708283.86    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA12                                             | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA12 3A1         | CUSIP: 32051GQ99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       847035 | PA      | $682127.97      | 0.00%             | 2036-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D R 144A           | CUSIP: 78450PAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         2899 | PA      | $943115.96      | 0.00%             | 2053-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR4                                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR4 A1             | CUSIP: 07401JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3518277 | PA      | $3454360.68     | 0.00%             | 2036-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3695 FN 07/34 FIXED 3                          | CUSIP: 31418DC91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83020 | PA      | $80420.86       | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS11                                             | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS11 MII2         | CUSIP: 76110WVW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2162577 | PA      | $2202086.95     | 0.00%             | 2034-01-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2006-1                                                   | BNC MORTGAGE LOAN TRUST BNCMT 2006 1 A1                    | CUSIP: 055682AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7095743 | PA      | $5107214.65     | 0.00%             | 2036-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB2093 FN 11/51 FIXED 3                          | CUSIP: 3140QMKF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        97190 | PA      | $86191.77       | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-21452139.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2003-3                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2003 3 M1             | CUSIP: 542514EA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1863038 | PA      | $1855193.24     | 0.00%             | 2033-07-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 01/28 VAR                                 | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      8850000 | PA      | $8657474.98     | 0.00%             | 2028-01-07      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA7079 FR 06/39 FIXED 4                  | CUSIP: 31329Q2L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       191029 | PA      | $187830.84      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ1                                              | PARK PLACE SECURITIES INC PPSI 2004 WHQ1 M6                | CUSIP: 70069FBW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3062449 | PA      | $2677082.56     | 0.00%             | 2034-09-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN4674 FR 12/48 FIXED 3.5                | CUSIP: 3131YBFP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1001383 | PA      | $930400.77      | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4352 FR 10/47 FIXED 3.5                | CUSIP: 3131XXZR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73623 | PA      | $68694.12       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 B1 144A        | CUSIP: 12662NAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19952850 | PA      | $14416297.27    | 0.01%             | 2061-05-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-17                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 17 1A2                    | CUSIP: 12544KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        70117 | PA      | $47910.26       | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TRUST 2005-3                                           | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 3 M4               | CUSIP: 29256PAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1682038 | PA      | $1678320.71     | 0.00%             | 2035-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4354 FN 02/49 FIXED 4                          | CUSIP: 3140JLZU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5146565 | PA      | $4973538.89     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 2A6           | CUSIP: 74922KAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1729294 | PA      | $1302953.10     | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251128                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1609054.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 2A4           | CUSIP: 45660L3U1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3924069 | PA      | $1446887.46     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A3             | CUSIP: 61751QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37925820 | PA      | $18226144.23    | 0.01%             | 2036-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-284207.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8316 FR 04/53 FIXED 5.5                | CUSIP: 3132DWGZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20659280 | PA      | $20923347.73    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST 2024-2                                                   | BMW VEHICLE LEASE TRUST BMWLT 2024 2 A3                    | CUSIP: 05613MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60900000 | PA      | $61101140.52    | 0.03%             | 2027-10-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN1675 FR 11/38 FIXED 4                  | CUSIP: 3131Y72G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96392 | PA      | $94070.09       | 0.00%             | 2038-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB9585 FN 11/54 FIXED 7                          | CUSIP: 3140QVUK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        99990 | PA      | $104806.58      | 0.00%             | 2054-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-260505.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8462 FR 03/53 FIXED 5.5                | CUSIP: 3133BWMK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67023 | PA      | $67862.61       | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A96                | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        76601 | PA      | $32558.93       | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                              | TORREY PINES RE LTD SR UNSECURED 144A 06/31 VAR            | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      5400000 | PA      | $5511240.00     | 0.00%             | 2031-06-05      | Floating      | 12.94%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55100 09/17/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1076771.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-4                                               | HOME EQUITY ASSET TRUST HEAT 2005 4 M6                     | CUSIP: 437084LR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2329278 | PA      | $2319803.17     | 0.00%             | 2035-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2760 FN 08/42 FIXED VAR                        | CUSIP: 3138EKB61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       270462 | PA      | $270900.62      | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-26569.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/29 VAR                   | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      7400000 | PA      | $7338805.92     | 0.00%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC2                                           | MASTR ASSET BACKED SECURITIES MABS 2006 WMC2 A1            | CUSIP: 57644TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62288829 | PA      | $9454304.32     | 0.00%             | 2036-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX4296 FR 02/55 FIXED 7                  | CUSIP: 31425YX28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2578560 | PA      | $2707683.79     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                                     | ACE SECURITIES CORP. ACE 2007 HE2 A1                       | CUSIP: 00443PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5559221 | PA      | $5113431.11     | 0.00%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| NASSAU LTD 2018-IA                                                               | NASSAU 2018 I LTD. NCC 2018 IA A 144A                      | CUSIP: 63170MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2076134 | PA      | $2077500.32     | 0.00%             | 2031-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-247451.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 4 LTD 2016-4A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 4A AR 144A        | CUSIP: 03329TAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $962103.85      | 0.00%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1                  | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60727 | PA      | $61189.69       | 0.00%             | 2035-02-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080641 G2 10/32 FLOATING VAR                  | CUSIP: 36225CWB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2481 | PA      | $2531.27        | 0.00%             | 2032-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-2                                                  | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 2 1A5            | CUSIP: 320520AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       131099 | PA      | $38813.31       | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ING INVESTMENT MANAGEMENT CLO LTD 2012-4A                                        | VOYA CLO LTD INGIM 2012 4A A1R3 144A                       | CUSIP: 92916GBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       201044 | PA      | $201150.96      | 0.00%             | 2030-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM2 TRUST                                                             | PRP ADVISORS, LLC PRPM 2024 NQM2 A1 144A                   | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15869382 | PA      | $16237851.70    | 0.01%             | 2069-06-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1630 FN 11/47 FIXED 4                          | CUSIP: 3140H2Y44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1907831 | PA      | $1829956.14     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16588929096 | PA      | $16715868245.00 | 8.25%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-9                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 9 6A6               | CUSIP: 126380AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1287600 | PA      | $785739.19      | 0.00%             | 2036-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995050 FN 09/37 FIXED VAR                        | CUSIP: 31416BL71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       322899 | PA      | $340435.11      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-14379634.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890263 FN 11/25 FIXED VAR                        | CUSIP: 31410LB84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          111 | PA      | $110.81         | 0.00%             | 2025-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-17                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 17 2A1                    | CUSIP: 12544KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3963785 | PA      | $1111146.47     | 0.00%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8351 FR 08/53 FIXED 6.5                | CUSIP: 3132DWH48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31061 | PA      | $32194.11       | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-A                                                   | FREMONT HOME LOAN TRUST FHLT 2006 A 2A4                    | CUSIP: 35729RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6525499 | PA      | $4242186.23     | 0.00%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2004-17                           | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 17 A3             | CUSIP: 863579DU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1031279 | PA      | $985546.62      | 0.00%             | 2034-11-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC0245 FN 08/54 FIXED 6.5                        | CUSIP: 3140AMHX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999901 | PA      | $1039483.39     | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-B                                                   | FREMONT HOME LOAN TRUST FHLT 2005 B M7                     | CUSIP: 35729PKB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5237307 | PA      | $682889.26      | 0.00%             | 2035-04-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM6127 FR 04/48 FIXED 4                  | CUSIP: 3131Y0YY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       487941 | PA      | $469206.14      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG          | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     24950000 | PA      | $3243500.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                          | SCLP 2025 C R 144A SCLP 2025 C R 144A                      | CUSIP: 990AAWMD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18202870 | PA      | $23344616.12    | 0.01%             | 2034-09-06      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2023-A                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2023 A PT 144A         | CUSIP: 17295GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324462310 | PA      | $241404565.68   | 0.12%             | 2063-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3C          | CUSIP: 17311XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19730798 | PA      | $14544417.39    | 0.01%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5866 FR 12/38 FIXED 4                  | CUSIP: 31329PQT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4125342 | PA      | $4057579.09     | 0.00%             | 2038-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                             | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR              | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     31200000 | PA      | $32858280.00    | 0.02%             | 2031-05-13      | Floating      | 16.71%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC5                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC5 M5           | CUSIP: 76112BH86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       700000 | PA      | $618040.64      | 0.00%             | 2035-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20D                                         | SMALL BUSINESS ADMINISTRATION SBAP 2008 20D 1              | CUSIP: 83162CRS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        39080 | PA      | $39475.61       | 0.00%             | 2028-04-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4142                                                          | FREDDIE MAC FHR 4142 QI                                    | CUSIP: 3137AX6D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       207721 | PA      | $7401.46        | 0.00%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9673 FN 05/47 FIXED 3.5                        | CUSIP: 3138WKXB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       309794 | PA      | $289520.35      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-F                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 F 1A1             | CUSIP: 05946XYP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2267897 | PA      | $1729367.89     | 0.00%             | 2035-09-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST 2004-4                                             | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 4 2A               | CUSIP: 61748HDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       236084 | PA      | $231684.07      | 0.00%             | 2034-09-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5040 FN 06/53 FIXED 6                          | CUSIP: 31418ES68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10108786 | PA      | $10374931.00    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 2A             | CUSIP: 07384MQ88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        71494 | PA      | $67432.65       | 0.00%             | 2034-07-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 5A1                 | CUSIP: 46628LAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       236469 | PA      | $159933.91      | 0.00%             | 2036-06-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 2A A3 144A       | CUSIP: 96042YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17300000 | PA      | $17426521.82    | 0.01%             | 2028-02-15      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08816 FG 06/48 FIXED 3.5                | CUSIP: 3128MJ4A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3640918 | PA      | $3384429.01     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF1 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RCF1 A1 144A                   | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1672298 | PA      | $1649317.65     | 0.00%             | 2054-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q42019 FG 07/46 FIXED 3                  | CUSIP: 3132WFG52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80316 | PA      | $72754.43       | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.24800 09/18/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3012356.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-43086.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.46000 03/13/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-572079.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A5            | CUSIP: 55275TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21329901 | PA      | $6007223.19     | 0.00%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251203                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $6360.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9418 FN 08/31 FIXED VAR                        | CUSIP: 3138ERPC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9693 | PA      | $9608.42        | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP BRC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1.37           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4146                                                          | FREDDIE MAC FHR 4146 US                                    | CUSIP: 3137AXGY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1364079 | PA      | $1096662.05     | 0.00%             | 2042-12-15      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 4A1            | CUSIP: 61749CAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6938679 | PA      | $3709165.96     | 0.00%             | 2036-05-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2014-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 11 2A2 144A       | CUSIP: 17323JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27803063 | PA      | $11264591.61    | 0.01%             | 2036-08-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8448 FR 07/54 FIXED 6.5                | CUSIP: 3132DWL50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    169983008 | PA      | $175769697.56   | 0.09%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2003-2                                            | AMERIQUEST MORTGAGE SECURITIES AMSI 2003 2 M2              | CUSIP: 03072SET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49693 | PA      | $39528.08       | 0.00%             | 2033-03-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AS.6 SP SAL                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $133.33         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE5                                                             | GSAMP TRUST GSAMP 2005 HE5 M4                              | CUSIP: 362341ZE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2567182 | PA      | $2516944.18     | 0.00%             | 2035-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4099 FN 10/47 FIXED 3.5                        | CUSIP: 3140GSRV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7354775 | PA      | $6852963.99     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-C                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 C 1A3             | CUSIP: 059522AV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        38728 | PA      | $33789.80       | 0.00%             | 2036-05-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                            | SCURALPHA 1503 GMBH USD TERM LOAN B1                       | CUSIP: D7001LAC7<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |    211294278 | PA      | $195258099.10   | 0.10%             | 2030-03-29      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2003-A1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2003 A1 A5              | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5349 | PA      | $5393.59        | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $144358.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 04/26 0.125                                | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     16013010 | PA      | $15929262.60    | 0.01%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8566 G2 01/53 FIXED 3.5                     | CUSIP: 36179XQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45205889 | PA      | $41552229.78    | 0.02%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD9745 FN 12/25 FIXED 3.5                        | CUSIP: 31418XZK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6247 | PA      | $6223.82        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL7                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL7 SA 144A        | CUSIP: 12597AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       318329 | PA      | $312800.30      | 0.00%             | 2059-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.89000 01/08/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1767036.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2007-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 1A1              | CUSIP: 65106FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11532242 | PA      | $11262546.83    | 0.01%             | 2037-04-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7190 FN 05/46 FIXED 4                          | CUSIP: 3138WG7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6595 | PA      | $6329.96        | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A                 | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       585809 | PA      | $508781.98      | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN1106 FR 12/34 FIXED 3                  | CUSIP: 3133G7GP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9606 | PA      | $9313.94        | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256343 FN 06/26 FIXED 5                          | CUSIP: 31371MWC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          391 | PA      | $390.74         | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-7XS                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 7XS M1            | CUSIP: 86359B7L9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4514618 | PA      | $4430595.26     | 0.00%             | 2035-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 03/29 VAR                   | CUSIP: ACI2B33K5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     47900000 | PA      | $62729592.60    | 0.03%             | 2029-03-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 2A1A          | CUSIP: 92922FJ25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4990413 | PA      | $5106995.86     | 0.00%             | 2045-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0859 FN 12/47 FIXED 3.5                        | CUSIP: 3140Q75V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       130849 | PA      | $121481.79      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-15                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 15 A6              | CUSIP: 12666UAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       127508 | PA      | $132014.03      | 0.00%             | 2046-10-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BF0611 GN 03/48 FIXED 3.5                        | CUSIP: 3617G6VC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       322931 | PA      | $302038.19      | 0.00%             | 2048-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB2 1A1                  | CUSIP: 12669GWQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       594038 | PA      | $582826.47      | 0.00%             | 2035-05-20      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2020-B21                                               | BENCHMARK MORTGAGE TRUST BMARK 2020 B21 XA                 | CUSIP: 08163LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208424843 | PA      | $11509324.02    | 0.01%             | 2053-12-17      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2008-1                                       | THORNBURG MORTGAGE SECURITIES TMST 2008 1 2A1              | CUSIP: 88522UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7933972 | PA      | $5110709.52     | 0.00%             | 2038-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1896 FN 11/34 FIXED VAR                        | CUSIP: 3140X5DA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16752 | PA      | $16227.86       | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $446019.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 4A2          | CUSIP: 939355BR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3012059 | PA      | $2493580.68     | 0.00%             | 2047-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM9 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM9 A1 144A             | CUSIP: 67119DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22502426 | PA      | $22792524.84    | 0.01%             | 2064-01-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1            | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49582892 | PA      | $35433059.98    | 0.02%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK7393 FN 07/48 FIXED 4                          | CUSIP: 3140HMGB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       134083 | PA      | $128906.14      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 2 1A                 | CUSIP: 590219AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1985 | PA      | $2012.09        | 0.00%             | 2036-05-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 22A2                 | CUSIP: 07386HSW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       176355 | PA      | $173222.49      | 0.00%             | 2035-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-4                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 4 3A1             | CUSIP: 05953YBM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1187323 | PA      | $910780.22      | 0.00%             | 2037-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-8308.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO III DAC 3A                                                      | INVESCO EURO CLO INVSC 3A AR                               | CUSIP: ACI2Q9953<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     70200000 | PA      | $82499406.73    | 0.04%             | 2038-10-30      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 10A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 10A A1 144A             | CUSIP: 01449WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6102810 | PA      | $5873954.39     | 0.00%             | 2036-09-23      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-4A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2024 4A A3              | CUSIP: 30166UAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12639556 | PA      | $12661850.75    | 0.01%             | 2030-08-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 2A1          | CUSIP: 02150JAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2657423 | PA      | $1105017.76     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 8A                                                  | ALESCO PREFERRED FUNDING LTD ALESC 8A A2 144A              | CUSIP: 01449CAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     20821000 | PA      | $18986149.38    | 0.01%             | 2035-12-23      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-9                                                   | GSR MORTGAGE LOAN TRUST GSR 2004 9 4A1                     | CUSIP: 36242DBM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       180786 | PA      | $168923.05      | 0.00%             | 2034-08-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5499 FN 09/47 FIXED 4                          | CUSIP: 3140GUDD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       437293 | PA      | $420524.89      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A4            | CUSIP: 590238AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1390027 | PA      | $544537.72      | 0.00%             | 2047-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5155 FN 09/47 FIXED 3.5                        | CUSIP: 3140GTWR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       262262 | PA      | $244366.53      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1823 FN 10/46 FIXED 4                          | CUSIP: 3140FMAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87435 | PA      | $84100.73       | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-23                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 2A4             | CUSIP: 12666CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1943435 | PA      | $1879018.26     | 0.00%             | 2037-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2180 FN 07/46 FIXED 3.5                        | CUSIP: 3140F9M69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76805 | PA      | $71777.88       | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ8325 FN 12/26 FIXED 3                          | CUSIP: 3138E1HB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1461 | PA      | $1448.66        | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESLOC UK PLC 2007-1X                                                            | RESLOC UK PLC RLOC 2007 1X A3A REGS                        | CUSIP: B1XCDGII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3421182 | PA      | $3925331.32     | 0.00%             | 2043-12-15      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4926                                                          | FREDDIE MAC FHR 4926 MT                                    | CUSIP: 3137FPMZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3887999 | PA      | $4125369.52     | 0.00%             | 2049-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1733 FN 11/46 FIXED 4                          | CUSIP: 3140FL4T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126803 | PA      | $122086.22      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 B1 144A         | CUSIP: 52474AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132995966 | PA      | $131063468.12   | 0.06%             | 2058-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                     | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6552960 | PA      | $5743608.09     | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 09/29 VAR                        | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     25800000 | PA      | $27330649.24    | 0.01%             | 2029-09-13      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB11            | CUSIP: 05950BAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1318896 | PA      | $1072808.23     | 0.00%             | 2046-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 480334 GN 10/28 FIXED 6.1                        | CUSIP: 36209SSX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11177 | PA      | $11350.38       | 0.00%             | 2028-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 01/29 VAR                                 | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      6776000 | PA      | $7119653.72     | 0.00%             | 2029-01-18      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5666 FR 01/53 FIXED 6                  | CUSIP: 3133BTJK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1200800 | PA      | $1231752.65     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-564782.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONTEGO CLO III BV 3A                                                            | CONTEGO CLO DAC CONTE 3A ARR 144A                          | CUSIP: ACI2ZDDH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | NL        |     85000000 | PA      | $100130283.82   | 0.05%             | 2038-04-15      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A A 144A                         | CUSIP: ACI2SNZ85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    280912384 | PA      | $378265951.68   | 0.19%             | 2066-05-16      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.05750 01/07/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1436790.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A2          | CUSIP: 23242GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1869192 | PA      | $1753047.92     | 0.00%             | 2046-10-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2006-2                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 2 M3              | CUSIP: 83611MNK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14892880 | PA      | $14557545.96    | 0.01%             | 2036-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-338.93        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-18                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 18 1A2            | CUSIP: 863579FR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15431 | PA      | $13950.39       | 0.00%             | 2034-12-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A2            | CUSIP: 05949AH94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62086 | PA      | $60662.91       | 0.00%             | 2035-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-5                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 5 A 144A          | CUSIP: 69544LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5588564 | PA      | $5638344.05     | 0.00%             | 2031-10-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1398453.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08697 FG 03/46 FIXED 3                  | CUSIP: 3128MJX39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75025 | PA      | $68039.74       | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.54700 03/09/23-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $3840914.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0424A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -108300000 | PA      | $-108174068.76  | -0.05%            | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-10                                                 | BEAR STEARNS ALT A TRUST BALTA 2004 10 M2                  | CUSIP: 07386HMF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5334817 | PA      | $5316225.67     | 0.00%             | 2034-09-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 739477 FN 10/33 FIXED 6.5                        | CUSIP: 31402VQ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1258 | PA      | $1307.65        | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65500 01/24/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $63461.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B D 144A           | CUSIP: 83206NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21359772 | PA      | $21656715.67    | 0.01%             | 2055-02-16      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.17000 10/03/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6303715.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ2139 FR 08/54 FIXED 6.5                | CUSIP: 3133CSLU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2999702 | PA      | $3141810.54     | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |            1 | NC      | $442954.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A2 144A         | CUSIP: 21050QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98647000 | PA      | $100924709.91   | 0.05%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR5                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR5 2A1                   | CUSIP: 362341MD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1260196 | PA      | $627854.33      | 0.00%             | 2035-10-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R3                                    | MORGAN STANLEY REREMIC TRUST MSRR 2015 R3 7B 144A          | CUSIP: 61690TAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24383909 | PA      | $17358390.56    | 0.01%             | 2047-04-26      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF1432 FR 10/52 FIXED 5                  | CUSIP: 3133BNSV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34945 | PA      | $34830.15       | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-OPT1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT1 M4           | CUSIP: 17307GNU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5176 | PA      | $4410.34        | 0.00%             | 2035-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                              | SVB FINL TR COMMON STOCK UNIT                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |          500 | NS      | $272500.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LOAN TRUST SERIES 2006-5                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 5 A2C            | CUSIP: 69121EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13432203 | PA      | $12313535.45    | 0.01%             | 2037-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-3                                            | CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A           | CUSIP: 20846QDJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74286189 | PA      | $12491757.48    | 0.01%             | 2030-12-01      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | REPUBLIC OF COLOMBIA SR UNSECURED 02/36 5.625              | CUSIP: ACI309M21<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     62100000 | PA      | $70589325.30    | 0.03%             | 2036-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 765414 FN 08/34 FIXED 6.5                        | CUSIP: 31404DK31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1986 | PA      | $2070.46        | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $11106378.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257425 FN 09/28 FIXED 5                          | CUSIP: 31371N4J1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1666 | PA      | $1663.42        | 0.00%             | 2028-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W10                                                   | ARGENT SECURITIES INC. ARSI 2004 W10 M1                    | CUSIP: 040104LN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       444808 | PA      | $438411.88      | 0.00%             | 2034-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20300812                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $342014.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                               | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A6             | CUSIP: 76114QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8329517 | PA      | $3032754.00     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2960 FN 04/47 FIXED 4                          | CUSIP: 31418CJE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       589008 | PA      | $566606.64      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF221 RR                               | CUSIP: ACI2QBKL0<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     20195355 | PA      | $23698274.25    | 0.01%             | 2027-10-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4423 FN 10/49 FIXED 3                          | CUSIP: 3140QB4H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44076175 | PA      | $39422266.69    | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B B 144A           | CUSIP: 83206NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76108390 | PA      | $74919043.96    | 0.04%             | 2055-02-16      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 9 A13                     | CUSIP: 12544XAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000660 | PA      | $467978.81      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1882 FN 03/44 FIXED 4                          | CUSIP: 3138WBCU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1231920 | PA      | $1197410.34     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3434 FN 06/43 FIXED VAR                        | CUSIP: 3138EKY82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83222 | PA      | $80985.81       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC2                                           | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 M1               | CUSIP: 61746RHS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1554990 | PA      | $1574097.48     | 0.00%             | 2034-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A3          | CUSIP: 83612TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15354105 | PA      | $10250277.59    | 0.01%             | 2037-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 4A1            | CUSIP: 07388DAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1425098 | PA      | $1237550.98     | 0.00%             | 2036-07-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-8HE                                                   | TERWIN MORTGAGE TRUST TMTS 2005 8HE M4 144A                | CUSIP: 881561UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6124733 | PA      | $4644911.47     | 0.00%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251103                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-2416544.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J12                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J12 2A4          | CUSIP: 12668ATB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       978744 | PA      | $499437.54      | 0.00%             | 2035-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $9557.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $1607920.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH1447 FN 12/25 FIXED 3.5                        | CUSIP: 3138A2TD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2406 | PA      | $2395.99        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88500 07/12/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3547339.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMLTI 2025-RP3                                                                   | CMLTI 2025 RP3 SA 144A 10/75 0                             | CUSIP: 1734569Z9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1232151 | PA      | $1234023.71     | 0.00%             | 2075-10-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP3607 FN 08/27 FIXED 3                          | CUSIP: 3138M7AH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       107645 | PA      | $106483.85      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC ALTERNATE LOAN TRUST 2005-5                        | DEUTSCHE ALT A SECURITIES INC DBALT 2005 5 1A3             | CUSIP: 251510HN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17856 | PA      | $33246.71       | 0.00%             | 2035-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET SHARES   B                             | CUSIP: ACI01U3C8<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR7                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR7 A1A          | CUSIP: 93935DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13064780 | PA      | $10883127.35    | 0.01%             | 2046-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2006-1                                            | AMERICAN HOME MORTGAGE INVESTM AHM 2006 1 11A1             | CUSIP: 02660THY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5849684 | PA      | $5330115.45     | 0.00%             | 2046-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A                                       | OCTAGON INVESTMENT PARTNERS 40 OCT40 2019 1A A1RR 144A     | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    108600000 | PA      | $108790006.56   | 0.05%             | 2035-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII1 144A     | CUSIP: 760985Y88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2167595 | PA      | $2177920.19     | 0.00%             | 2034-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK9045 FN 04/27 FIXED 3                          | CUSIP: 3138EEBP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69343 | PA      | $68702.80       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                    | ARGENT SECURITIES INC. ARSI 2006 M1 A2C                    | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37880294 | PA      | $10313061.49    | 0.01%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 69 A1            | CUSIP: 12668AN27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2193139 | PA      | $1989011.44     | 0.00%             | 2035-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-1CON                                               | BANKERS HEALTHCARE GROUP SECUR BHG 2025 1CON B 144A        | CUSIP: 08860AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25756525 | PA      | $26060951.42    | 0.01%             | 2036-04-17      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.23200 09/10/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1585173.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-644187.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4979 FN 04/53 FIXED 5.5                        | CUSIP: 31418EQ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33225806 | PA      | $33663638.57    | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8668 FN 10/46 FIXED 3.5                        | CUSIP: 3140FGT25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       955849 | PA      | $898342.61      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2668 FN 09/47 FIXED 3.5                        | CUSIP: 3140GQ6E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       143876 | PA      | $133383.02      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM0062 FN 02/50 FIXED VAR                        | CUSIP: 3140X3B80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       676625 | PA      | $625455.42      | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A D 144A                         | CUSIP: ACI2SNZ51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     15924000 | PA      | $21443242.77    | 0.01%             | 2066-05-16      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP MYC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-19374.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4851                                                          | FREDDIE MAC FHR 4851 MO                                    | CUSIP: 3137FKAT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10652190 | PA      | $6982767.43     | 0.00%             | 2057-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-36424.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7100 FR 02/30 FIXED 3                  | CUSIP: 3132A73H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24837 | PA      | $24416.36       | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MORTGAGE LOAN TR 2006-1                                             | INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A2              | CUSIP: 45661JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25833292 | PA      | $8124087.26     | 0.00%             | 2036-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-5623075.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2023 RPL1 SA 144A      | CUSIP: 36266QAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       561457 | PA      | $455491.65      | 0.00%             | 2062-02-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-AC7                            | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC7 A2           | CUSIP: 073879MZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       592046 | PA      | $521294.86      | 0.00%             | 2034-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1658 FN 04/48 FIXED 4                          | CUSIP: 3140Q8ZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36637 | PA      | $34883.42       | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROVIDUS CLO II DAC 2A                                                           | PROVIDUS CLO PRVD 2A ARR 144A                              | CUSIP: ACI2RB411<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     69000000 | PA      | $81244277.44    | 0.04%             | 2038-10-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 05/32 VAR                   | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     91335000 | PA      | $84540221.27    | 0.04%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT1 M3           | CUSIP: 83611MDJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17750000 | PA      | $16318744.73    | 0.01%             | 2035-06-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                                   | FREMONT HOME LOAN TRUST FHLT 2006 C 2A2                    | CUSIP: 35729TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4863675 | PA      | $1947828.45     | 0.00%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 25A1                 | CUSIP: 07386HTE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       517795 | PA      | $502570.18      | 0.00%             | 2035-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                                      | WATR ISSUER TRUST WATR 2025 1 D 144A                       | CUSIP: 942611AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17130000 | PA      | $17181560.61    | 0.01%             | 2050-06-17      | Fixed         | 6.77%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0171 FN 09/29 FIXED 4.5                        | CUSIP: 31417YFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16273 | PA      | $16317.42       | 0.00%             | 2029-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-NC3                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 NC3 A2B           | CUSIP: 81377CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3739693 | PA      | $1245209.19     | 0.00%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 607020 FN 10/31 FIXED 6.5                        | CUSIP: 31388KK92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1139 | PA      | $1179.09        | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL7                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL7 B3 144A        | CUSIP: 12597AAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118734054 | PA      | $63685135.20    | 0.03%             | 2059-01-27      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS2                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS2 M6            | CUSIP: 76112BKG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       464918 | PA      | $413107.89      | 0.00%             | 2035-02-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A         | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18217036 | PA      | $17408105.10    | 0.01%             | 2046-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1765 FN 12/47 FIXED 3.5                        | CUSIP: 3140Q86B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2211949 | PA      | $2069727.46     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                     | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60087823 | PA      | $54839931.73    | 0.03%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW9916 FN 10/52 FIXED 5                          | CUSIP: 3140N3AS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       172063 | PA      | $171576.46      | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM2 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM2 A1 144A             | CUSIP: 670843AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14565301 | PA      | $14597679.89    | 0.01%             | 2062-01-25      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $30919.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5036 FR 01/40 FIXED 2.5                | CUSIP: 3133KYSZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33081 | PA      | $30221.33       | 0.00%             | 2040-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL1                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL1 A1 144A      | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17646847 | PA      | $17094597.68    | 0.01%             | 2063-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 02/34 3.75                       | CUSIP: ACI23CJP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     25720000 | PA      | $26359503.24    | 0.01%             | 2034-02-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2907 FN 02/47 FIXED 4                          | CUSIP: 31418CGR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       172032 | PA      | $165489.79      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6111 FN 11/45 FIXED 4                          | CUSIP: 3138WFYH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8269 | PA      | $7956.46        | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTOR INC 2004-HE1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 HE1 B1 144A       | CUSIP: 59020UFL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       259917 | PA      | $217246.91      | 0.00%             | 2035-04-25      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7145 FR 02/53 FIXED 6                  | CUSIP: 3133BU5E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5624534 | PA      | $5758101.27     | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6312 FN 05/53 FIXED 5                          | CUSIP: 3140QSAN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       157425 | PA      | $157871.09      | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-585033.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A2                 | CUSIP: 46628KAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1129044 | PA      | $921211.21      | 0.00%             | 2036-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $500539.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1421 FN 04/37 FIXED VAR                        | CUSIP: 3140XGSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11891709 | PA      | $11443065.16    | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR13                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR13 A1           | CUSIP: 45661XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1171094 | PA      | $760179.05      | 0.00%             | 2036-07-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US ULTRA BOND CBT DEC25 XCBT 20251219                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         5679 | NC      | $19588797.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES LIMITED                                                   | THAMES WATER UTIL LTD SR SECURED 144A 03/27 0.00000        | CUSIP: ACI2VX3Q4<br>LEI: 213800JKM5UQHFJOTZ25 | Long             | DBT              | CORP              | GB        |      2757644 | PA      | $3208095.95     | 0.00%             | 2027-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2006-R2                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2006 R2 M2             | CUSIP: 03072SZ81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8478309 | PA      | $8337276.13     | 0.00%             | 2036-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| TERWIN MTGE TRUST 2006-9HGA                                                      | TERWIN MORTGAGE TRUST TMTS 2006 9HGA A3 144A               | CUSIP: 88156TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43688994 | PA      | $13638113.58    | 0.01%             | 2037-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                      | URSA RE LTD UNSECURED 144A 12/26 VAR                       | CUSIP: 90323WAQ3<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |     49500000 | PA      | $51764625.00    | 0.03%             | 2026-12-07      | Floating      | 12.68%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG0396 G2 03/48 FIXED 4                       | CUSIP: 3617GJNM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       702843 | PA      | $668738.98      | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-3          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 3 A2             | CUSIP: 93936JAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4254467 | PA      | $3782243.81     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-S2                                                | STRUCTURED ASSET SECURITIES CO SASC 2005 NC2 M6            | CUSIP: 86359DCS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7853000 | PA      | $7739027.84     | 0.00%             | 2035-05-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8174 FN 02/46 FIXED VAR                        | CUSIP: 3138ETCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52092 | PA      | $48979.26       | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS10                                             | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS10 M3           | CUSIP: 76110WG59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       801674 | PA      | $800473.35      | 0.00%             | 2034-11-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT3                                               | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT3 M1           | CUSIP: 40430HFN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4582213 | PA      | $4440624.93     | 0.00%             | 2036-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL1 M1           | CUSIP: 17311VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14644000 | PA      | $14317964.52    | 0.01%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY7770 FN 07/45 FIXED 4                          | CUSIP: 3138YMT41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10245 | PA      | $9851.85        | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW2285 FN 08/52 FIXED 4                          | CUSIP: 3140MTRF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       951005 | PA      | $898033.00      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $536246.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7593 FN 03/47 FIXED 4                          | CUSIP: 3140FTNK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26582 | PA      | $25546.07       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                              | INTESA SANPAOLO SPA 144A 11/33 7.2                         | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     44166000 | PA      | $50350605.17    | 0.02%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                              | SPACE COAST CREDIT UNION SCCU 2024 1A A4 144A              | CUSIP: 78436RAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36300000 | PA      | $36955222.26    | 0.02%             | 2030-05-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A2           | CUSIP: 45661VAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4369596 | PA      | $4375839.70     | 0.00%             | 2046-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 11/25 0.00000                                | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     36590000 | PA      | $36419564.50    | 0.02%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251007                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-507618.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4019 FN 09/47 FIXED 4                          | CUSIP: 3140GSPD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       155805 | PA      | $150214.50      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C B 144A           | CUSIP: 83208DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35479000 | PA      | $35629299.69    | 0.02%             | 2055-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 A4 144A       | CUSIP: 17329YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715921519 | PA      | $634109730.26   | 0.31%             | 2061-05-01      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC7 A2           | CUSIP: 07384YPJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2910112 | PA      | $2428345.03     | 0.00%             | 2034-01-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A5            | CUSIP: 25151RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1777832 | PA      | $1568698.23     | 0.00%             | 2047-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2006-11                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 11 1A1            | CUSIP: 86362HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1343988 | PA      | $1362426.91     | 0.00%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP4 SA 144A       | CUSIP: 17330WAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       323645 | PA      | $304929.64      | 0.00%             | 2061-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2005-3                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2005 3 M4              | CUSIP: 004375DX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2351348 | PA      | $2278614.88     | 0.00%             | 2035-09-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2005-RP3                                                             | RAAC SERIES RAAC 2005 RP3 M2 144A                          | CUSIP: 76112BP95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1206016 | PA      | $1255004.32     | 0.00%             | 2039-05-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 1A1            | CUSIP: 07384MA85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       115531 | PA      | $109469.27      | 0.00%             | 2034-02-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A3            | CUSIP: 43710EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14455942 | PA      | $8137122.42     | 0.00%             | 2037-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2003 A1 1A1                 | CUSIP: 466247AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8764 | PA      | $8369.37        | 0.00%             | 2033-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46279 FG 02/47 FIXED 3.5                | CUSIP: 3132WK6R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32080 | PA      | $30036.76       | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                            | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A2            | CUSIP: 57645MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5607645 | PA      | $2147110.52     | 0.00%             | 2036-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH4                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH4 M1           | CUSIP: 46630CAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21734779 | PA      | $21362385.69    | 0.01%             | 2037-05-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 A2 144A      | CUSIP: 36261WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12600000 | PA      | $10885897.26    | 0.01%             | 2060-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR11                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR11 A6          | CUSIP: 94984CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       122265 | PA      | $113032.83      | 0.00%             | 2036-08-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/49 3                                    | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    125029000 | PA      | $93642324.98    | 0.05%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3057 FN 07/47 FIXED 3.5                        | CUSIP: 31418CMF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       149783 | PA      | $139995.95      | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $57324.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE2                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE2 A2C            | CUSIP: 784208AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8435139 | PA      | $1754707.17     | 0.00%             | 2036-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE TRUST SERIES 2007-S4                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S4 A1            | CUSIP: 161629AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4748955 | PA      | $1822144.16     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0318 FN 02/30 FIXED 4.5                        | CUSIP: 31417YK89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7771 | PA      | $7821.54        | 0.00%             | 2030-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-1158296.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES LIX CLO LTD 2021-59A                                                        | ARES CLO LTD ARES 2021 59A A 144A                          | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12800000 | PA      | $12818790.53    | 0.01%             | 2034-04-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| NRPLM 2024-RPL1                                                                  | NRPLM TRUST SERIES NRPLM 2024 RPL1 CERT 144A               | CUSIP: 62956LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7637116 | PA      | $6449960.94     | 0.00%             | 2063-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7557 FN 03/53 FIXED 6                          | CUSIP: 3140NCMF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3921245 | PA      | $4019754.53     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-117958.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $0.00           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-1                                                   | FREMONT HOME LOAN TRUST FHLT 2006 1 2A4                    | CUSIP: 35729PPB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27899847 | PA      | $25573348.94    | 0.01%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251106                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $226154.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ2 A3            | CUSIP: 83611XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28787478 | PA      | $21020720.19    | 0.01%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIII LTD / PREFERRED TERM SECURITIES XXIII INC        | PREFERRED TERM XXIII SR SECURED 144A 12/36 VAR             | CUSIP: 74043AAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      2901065 | PA      | $2581947.98     | 0.00%             | 2036-12-22      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 3 4A3                  | CUSIP: 07386HSN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       204497 | PA      | $199743.65      | 0.00%             | 2035-04-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 A5 144A       | CUSIP: 17329HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    618420770 | PA      | $557294824.69   | 0.28%             | 2060-10-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-7                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 3A4               | CUSIP: 22942KAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       643764 | PA      | $231439.61      | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH3540 FR 11/53 FIXED 6.5                | CUSIP: 3133CF4Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1687117 | PA      | $1763169.73     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                                   | FREMONT HOME LOAN TRUST FHLT 2005 E M1                     | CUSIP: 35729PND8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44985000 | PA      | $37678581.29    | 0.02%             | 2036-01-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV7157 FN 04/44 FIXED 4                          | CUSIP: 3138XJ5T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179199 | PA      | $173051.33      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 1A1A         | CUSIP: 933638AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       569567 | PA      | $545413.02      | 0.00%             | 2047-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1422 FN 04/37 FIXED VAR                        | CUSIP: 3140XGSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20742994 | PA      | $19919762.39    | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                                 | GAZPROM PJSC (GAZ FN) SR UNSECURED 144A 02/27 1.5          | CUSIP: ACI1VT7X6<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |    137850000 | PA      | $125428234.98   | 0.06%             | 2027-02-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1607 FN 08/47 FIXED 3.5                        | CUSIP: 3140H2YD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       353967 | PA      | $328030.08      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-3086793.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA5561 FN 04/50 FIXED 3.5                        | CUSIP: 3140QDFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22082568 | PA      | $20522251.15    | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $17924.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                                    | NPC UKRENERGO GOVT GUARANT REGS 11/28 6.875                | CUSIP: ACI21LG55<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |      3080000 | PA      | $2455068.00     | 0.00%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 1A4                 | CUSIP: 46628LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1251024 | PA      | $840401.39      | 0.00%             | 2036-06-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8862 FN 08/26 FIXED 3.5                        | CUSIP: 3138ANZ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12198 | PA      | $12107.04       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE2                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE2 A2D            | CUSIP: 784208AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7893976 | PA      | $1649548.14     | 0.00%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/34 1.875                                | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4130439534 | PA      | $4192154372.38  | 2.07%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-216263.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2019-1 CLASS AA PASS THROUGH TRUST                               | BRITISH AIR 19 1 AA PTT PASS THRU CE 144A 06/34 3.3        | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2126864 | PA      | $2015198.98     | 0.00%             | 2034-06-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB7394 FR 01/51 FIXED 2.5                | CUSIP: 3133AEGB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4408299 | PA      | $3753835.97     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $32562.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8731 FN 02/47 FIXED 4                          | CUSIP: 3140FGVZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       408803 | PA      | $392733.57      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC1 A1 144A           | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31214830 | PA      | $30684586.39    | 0.02%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR             | CUSIP: 903724CA8<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      4645719 | PA      | $2608571.22     | 0.00%             | 2034-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q44485 FG 11/46 FIXED 3                  | CUSIP: 3132WH6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       555042 | PA      | $502548.39      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1A 144A         | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11314359 | PA      | $11472026.03    | 0.01%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SECURITIES INC 2006-3                              | CITICORP RESIDENTIAL MORTGAGE CRMSI 2006 3 M1              | CUSIP: 17310NAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1104607 | PA      | $1087668.18     | 0.00%             | 2036-11-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5297 FN 02/48 FIXED 4                          | CUSIP: 3140H63F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       772724 | PA      | $742133.50      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                             | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 M4             | CUSIP: 86358EPF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        96206 | PA      | $107067.84      | 0.00%             | 2034-11-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q012                | FHLMC MULTIFAMILY STRUCTURED P FHMS Q012 X                 | CUSIP: 3137FVNQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59781650 | PA      | $9202084.80     | 0.00%             | 2035-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M3               | CUSIP: 61744CLW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3087082 | PA      | $3128604.79     | 0.00%             | 2035-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                             | GSAMP TRUST GSAMP 2007 FM2 A2B                             | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5893510 | PA      | $3617042.10     | 0.00%             | 2037-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3909 FN 06/52 FIXED 4                          | CUSIP: 3140QPKX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29531 | PA      | $27912.67       | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ7182 FN 08/45 FIXED 4.5                        | CUSIP: 3138YY6U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59098 | PA      | $58689.16       | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7374 FN 04/55 FIXED 7                          | CUSIP: 3140B8FQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1973970 | PA      | $2081022.59     | 0.00%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 28 LTD                                                     | ANCHORAGE CAPITAL CLO LTD ANCHC 2024 28A A 144A            | CUSIP: 03330RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    136100000 | PA      | $136625912.18   | 0.07%             | 2037-04-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV2918 FN 12/43 FIXED 4.5                        | CUSIP: 3138XEG44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22065 | PA      | $22025.84       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-D                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 D 2A6            | CUSIP: 05949A4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       492043 | PA      | $440049.10      | 0.00%             | 2035-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA D 144A                       | CUSIP: ACI2QV5H2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     33530000 | PA      | $44730219.51    | 0.02%             | 2055-05-28      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $3253.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2004-6                                                    | GSAA HOME EQUITY TRUST GSAA 2004 6 M1                      | CUSIP: 36228F7F7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       380831 | PA      | $377210.63      | 0.00%             | 2034-06-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4860 FN 12/49 FIXED 3                          | CUSIP: 3140QCMJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5609902 | PA      | $5015846.68     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 29 3A1                    | CUSIP: 12669GJF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3955625 | PA      | $3229538.31     | 0.00%             | 2035-02-25      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-3                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M3                   | CUSIP: 66987XGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13783026 | PA      | $13318240.40    | 0.01%             | 2036-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-15                                                   | GSAA HOME EQUITY TRUST GSAA 2005 15 2A2                    | CUSIP: 362341D71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4122075 | PA      | $1305906.61     | 0.00%             | 2036-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.54300 08/04/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1914107.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 2A1           | CUSIP: 92990GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4638473 | PA      | $3820571.07     | 0.00%             | 2037-05-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| YELLOWSTONE ENERGY LP                                                            | YELLOWSTONE ENERGY LP SR SECURED 12/26 5.75                | CUSIP: 98580LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1247285 | PA      | $1232497.85     | 0.00%             | 2026-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3           | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7513203 | PA      | $7273828.06     | 0.00%             | 2037-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6551 FR 01/53 FIXED 5.5                | CUSIP: 3133BUH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       560546 | PA      | $567989.75      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                                  | ARMOR RE II LTD SR UNSECURED 144A 05/31 VAR                | CUSIP: 04227FAE5<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |     13000000 | PA      | $14125150.00    | 0.01%             | 2031-05-07      | Floating      | 14.13%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $340207.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.49500 10/30/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2054466.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7770 FN 08/46 FIXED 4.5                        | CUSIP: 3138WHT44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       245368 | PA      | $243212.05      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3897 FN 01/35 FIXED 3                          | CUSIP: 31418DKK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       420645 | PA      | $407872.04      | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-52CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 52CB 1A8         | CUSIP: 12668AGB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4032678 | PA      | $2704311.96     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83445 FG 09/47 FIXED 3.5                | CUSIP: 3132L8ZJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95902 | PA      | $88952.14       | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A3            | CUSIP: 18976GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2417920 | PA      | $2126652.04     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-1                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 7A4             | CUSIP: 863579Q92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       294221 | PA      | $251739.99      | 0.00%             | 2036-02-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                         | LEHMAN XS TRUST LXS 2007 15N 1CA1                          | CUSIP: 52524VAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20442157 | PA      | $19447120.32    | 0.01%             | 2037-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-12895.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8208 FN 10/31 FIXED 2.5                        | CUSIP: 3138WJDN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62363 | PA      | $60207.06       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1480 FN 04/47 FIXED VAR                        | CUSIP: 3140J5UE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4250420 | PA      | $4088772.50     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2817 FN 08/45 FIXED 4                          | CUSIP: 3138YGDX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       157184 | PA      | $152960.57      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2B               | CUSIP: 61753NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8171815 | PA      | $3610580.95     | 0.00%             | 2037-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-102                                                       | FANNIE MAE FNR 2012 102 SJ                                 | CUSIP: 3136A8RV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       818674 | PA      | $460575.11      | 0.00%             | 2042-09-25      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTGE 2004-14                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 14 M              | CUSIP: 863579CQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       228644 | PA      | $206763.03      | 0.00%             | 2034-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A DR 144A                          | CUSIP: ACI1745Z5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     28871000 | PA      | $32913032.20    | 0.02%             | 2054-10-29      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-1075731.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC6                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC6 M5               | CUSIP: 61744CSZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3750000 | PA      | $3340264.88     | 0.00%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA F 144A                       | CUSIP: ACI2QV5G4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     17515000 | PA      | $23211359.48    | 0.01%             | 2055-05-28      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH2 AF4          | CUSIP: 46630MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       504249 | PA      | $250885.06      | 0.00%             | 2037-01-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2002-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2002 HE3 A2                | CUSIP: 61746RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5150 | PA      | $5150.34        | 0.00%             | 2033-03-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                          | SCLP 2025 C D 144A SCLP 2025 C D 144A                      | CUSIP: 990AAWMB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9770000 | PA      | $9719916.05     | 0.00%             | 2034-09-06      | Fixed         | 5.23%                 | No            |                  3 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM1                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM1 M1            | CUSIP: 81375WKE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13207617 | PA      | $10465216.40    | 0.01%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX0884 FN 02/53 FIXED 5.5                        | CUSIP: 3140N46W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1620970 | PA      | $1647715.48     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A              | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7880988 | PA      | $7298612.56     | 0.00%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| US CAPITAL FUNDING V LTD 2006-5A                                                 | US CAPITAL FUNDING LTD USCAP 2006 5A A1 144A               | CUSIP: 90342WAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     26139686 | PA      | $24440606.65    | 0.01%             | 2040-10-10      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 4 A2 144A          | CUSIP: 29374MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25234808 | PA      | $25327086.37    | 0.01%             | 2027-07-20      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE 144A 01/27 VAR                            | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     83300000 | PA      | $83710903.91    | 0.04%             | 2027-01-12      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE WAREHOUSE FINANCE 24-1A                                           | DUTCH MORTGAGE WAREHOUSE FINAN DMWF 2024 1A VFN 144A       | CUSIP: ACI2Q96P2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     61488000 | PA      | $70771859.84    | 0.03%             | 2027-07-31      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST 2006-NC5                                          | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC5 A4            | CUSIP: 144539AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23866000 | PA      | $18488651.30    | 0.01%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2C            | CUSIP: 81879MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1140366 | PA      | $563495.57      | 0.00%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 7A1                 | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       509942 | PA      | $451758.53      | 0.00%             | 2035-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 5 2A1                  | CUSIP: 07386HJD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       235338 | PA      | $225057.63      | 0.00%             | 2034-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM PARENT INC                                                            | NEW WINDSTREAM PREFERRED STOCK                             | CUSIP: 990AAJEB9<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        39145 | NS      | $39145470.00    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 1 M6                     | CUSIP: 43739EAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        81257 | PA      | $52730.19       | 0.00%             | 2035-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7511 FR 01/50 FIXED 3.5                | CUSIP: 3132DVKY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7811 | PA      | $7273.47        | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPFCMBS                                 | CUSIP: ACI2QBKW6<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |       891164 | PA      | $914925.07      | 0.00%             | 2027-10-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| MFA 2023-NQM2 TRUST                                                              | MFRA TRUST MFRA 2023 NQM2 A1 144A                          | CUSIP: 55285WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53319871 | PA      | $52865532.43    | 0.03%             | 2068-03-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-253139.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ7357 FN 11/45 FIXED 4.5                        | CUSIP: 3140E0E76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13934 | PA      | $13840.67       | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC2                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC2 M3               | CUSIP: 61744CNT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       422812 | PA      | $420378.47      | 0.00%             | 2035-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 1A1              | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10157203 | PA      | $9723017.70     | 0.00%             | 2037-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU4077 FN 06/53 FIXED 5.5                        | CUSIP: 3140M5Q73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       386976 | PA      | $392130.37      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                                       | HELLENIC REPUBLIC BONDS REGS 01/42 4.2                     | CUSIP: ACI0Z3HC6<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     33323201 | PA      | $40868800.11    | 0.02%             | 2042-01-30      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-8                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 8 1A1                     | CUSIP: 12545AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7987461 | PA      | $3306860.71     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTG INV TRUST 2005-1                                               | AMERICAN HOME MORTGAGE INVESTM AHM 2005 1 8A2              | CUSIP: 02660TDL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14172214 | PA      | $9944185.05     | 0.00%             | 2035-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2753 FN 04/26 FIXED 3.5                        | CUSIP: 31416YBX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          481 | PA      | $479.25         | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8961 FN 08/47 FIXED 4                          | CUSIP: 3140GX5X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       182559 | PA      | $175615.45      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0998 FN 12/47 FIXED 3.5                        | CUSIP: 3140H2DC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       258817 | PA      | $239632.72      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4782 FN 07/53 FIXED 5                          | CUSIP: 3140NMJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       890295 | PA      | $885885.23      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $13246066.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                                     | CIFI HOLDINGS GROUP COMPANY GUAR REGS 08/26 4.45           | CUSIP: ACI1XQPZ5<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |      3500000 | PA      | $323750.00      | 0.00%             | 2026-08-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 14 1A              | CUSIP: 23243LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15179316 | PA      | $14494221.94    | 0.01%             | 2037-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H24 F              | CUSIP: 38376RJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5330292 | PA      | $5358121.86     | 0.00%             | 2066-11-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-2                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 2 M1             | CUSIP: 542514FX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       785897 | PA      | $809635.36      | 0.00%             | 2034-06-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR5                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR5 4A21          | CUSIP: 45669EAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36874710 | PA      | $29343286.52    | 0.01%             | 2037-05-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-24                                                        | FANNIE MAE FNR 2013 24 LI                                  | CUSIP: 3136AB7B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       903817 | PA      | $12683.00       | 0.00%             | 2028-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR2                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR2 1A           | CUSIP: 36185N6M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       306258 | PA      | $291159.18      | 0.00%             | 2035-05-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVIII CLO LTD 2017-28A                                                  | VENTURE CDO LTD VENTR 2017 28A A1R 144A                    | CUSIP: 92331AAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       122815 | PA      | $122880.87      | 0.00%             | 2030-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA3                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA3 1A            | CUSIP: 76111XVZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1377312 | PA      | $550330.68      | 0.00%             | 2035-08-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.75000 03/05/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2056751.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM5420 FR 01/48 FIXED 4                  | CUSIP: 3131Y0AV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       435863 | PA      | $419150.68      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 7A1            | CUSIP: 225470SA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4856442 | PA      | $795069.49      | 0.00%             | 2036-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251215                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $667861.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895072 FN 08/36 FIXED 6.5                        | CUSIP: 31410RMV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3257 | PA      | $3418.49        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 15 A5                     | CUSIP: 12669GQ95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1716871 | PA      | $875838.51      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51345 FG 10/47 FIXED 3.5                | CUSIP: 3132XTP77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10351 | PA      | $9599.76        | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7608 FN 11/25 FIXED 3                          | CUSIP: 31419JN20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          401 | PA      | $400.09         | 0.00%             | 2025-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S2 2A4                 | CUSIP: 466247UW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1851467 | PA      | $1381662.07     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15             | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    223783000 | PA      | $223087283.27   | 0.11%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN1186 FR 12/34 FIXED 3                  | CUSIP: 3133G7J79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        92166 | PA      | $89367.17       | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9317 FN 03/32 FIXED 2.5                        | CUSIP: 3138WKK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13093 | PA      | $12629.61       | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED 144A 07/31 3.061                    | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     46300000 | PA      | $42054741.43    | 0.02%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD1640 FR 09/52 FIXED 4                  | CUSIP: 3132DNZD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51274 | PA      | $48720.49       | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC1                                            | MORGAN STANLEY CAPITAL INC MSAC 2005 NC1 M1                | CUSIP: 61744CMK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       902259 | PA      | $917090.87      | 0.00%             | 2035-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2971 FN 02/47 FIXED 4                          | CUSIP: 3140FNJR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1239678 | PA      | $1192534.45     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SEC 2006-7                                           | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 7 3A1            | CUSIP: 94982XAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33180 | PA      | $26690.59       | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08799 FG 02/48 FIXED 3                  | CUSIP: 3128MJ3H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75146 | PA      | $67551.37       | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13          | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13435032 | PA      | $12772142.19    | 0.01%             | 2036-12-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1                    | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       520513 | PA      | $485981.14      | 0.00%             | 2035-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A10         | CUSIP: 12668BFK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       479747 | PA      | $271262.51      | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF3             | CUSIP: 75970QAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137502651 | PA      | $34041847.64    | 0.02%             | 2037-06-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                          | COUNTRY GARDEN HLDGS SR SECURED REGS 01/30 5.625           | CUSIP: ACI1HYZV4<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |      1300000 | PA      | $140647.00      | 0.00%             | 2030-01-14      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 661646 FN 10/32 FLOATING VAR                     | CUSIP: 31391BBP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1562 | PA      | $1588.93        | 0.00%             | 2032-10-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES TRUST2006-EFC1                                                       | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 EFC1 M3           | CUSIP: 76112BV98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2098692 | PA      | $2052100.46     | 0.00%             | 2036-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 RF2 A 144A        | CUSIP: 86359DEX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       187468 | PA      | $170974.07      | 0.00%             | 2035-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3869 FN 06/35 FIXED VAR                        | CUSIP: 3140X7JP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12566610 | PA      | $12184965.42    | 0.01%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE INVESTMENT TRUST 2014-MH1                                              | NEWCASTLE INVESTMENT TRUST NCIT 2014 MH1 A 144A            | CUSIP: 65106TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29800302 | PA      | $29519231.76    | 0.01%             | 2033-05-01      | Fixed         | 8.11%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2005-R7                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R7 M5             | CUSIP: 03072SK46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12785000 | PA      | $11579293.95    | 0.01%             | 2035-09-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8297 FN 12/35 FIXED VAR                        | CUSIP: 3140XCGF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43502282 | PA      | $42180944.39    | 0.02%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2022-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2022 CP1 M1 144A              | CUSIP: 62955VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2638869.00     | 0.00%             | 2061-07-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-3F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 3F 3A1                    | CUSIP: 362334HG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10124749 | PA      | $3274624.22     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN1099 FR 12/34 FIXED 3                  | CUSIP: 3133G7GG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1737815 | PA      | $1685032.85     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA4                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA4 A31           | CUSIP: 76110H4J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6929199 | PA      | $4841582.83     | 0.00%             | 2035-04-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHESTER A CESTR 1 AA A 144A                                | CUSIP: ACI1BFGM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    131114124 | PA      | $176756368.80   | 0.09%             | 2046-03-17      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2005-2                                           | MASTR SEASONED SECURITIZATION MSSTR 2005 2 4A1             | CUSIP: 55265WDM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2806 | PA      | $2802.31        | 0.00%             | 2032-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                             | COLLEGE AVE STUDENT LOANS CASL 2023 B A1B 144A             | CUSIP: 19425MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53623080 | PA      | $53915208.19    | 0.03%             | 2054-06-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-4N                                                          | LEHMAN XS TRUST LXS 2007 4N 1A3                            | CUSIP: 52524HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10752402 | PA      | $9303771.40     | 0.00%             | 2047-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO V DAC 5A                                                      | HAYFIN EMERALD CLO HAYEM 5A AR 144A                        | CUSIP: ACI2RYDM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     88800000 | PA      | $104382546.75   | 0.05%             | 2037-11-17      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $78702.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $62316268.34    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 2A2           | CUSIP: 617487AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4097484 | PA      | $1135561.46     | 0.00%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MMCAPS FUNDING XVIII LTD                                                         | MMCAPS FUND XVIII LTD SR SECURED 144A 12/39 VAR            | CUSIP: 60688HAA3<br>LEI: 549300ZF6EZYDGUCIW80 | Long             | DBT              | CORP              | KY        |     14879824 | PA      | $14359029.91    | 0.01%             | 2039-12-26      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| SIERRA HAMILTON HOLDINGS LLC                                                     | SIERRA HAMILTON HOLDER LLC                                 | CUSIP: 932BTZ902<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     15369768 | NS      | $1536.98        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7603 FN 07/46 FIXED 4                          | CUSIP: 3138WHNV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5640430 | PA      | $5425959.90     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 M2 144A        | CUSIP: 12660QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20261600 | PA      | $17176068.32    | 0.01%             | 2061-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR12                                                         | BCAP LLC TRUST BCAP 2010 RR12 3A11 144A                    | CUSIP: 05533NCE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5775410 | PA      | $5369698.95     | 0.00%             | 2037-08-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.09000 01/22/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4204305.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5125 FR 06/53 FIXED 5                  | CUSIP: 3133C5VS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       308136 | PA      | $307101.96      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1             | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       217974 | PA      | $183128.88      | 0.00%             | 2046-10-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL5                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL5 SA 144A      | CUSIP: 362951AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        56279 | PA      | $55896.67       | 0.00%             | 2064-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7754 FN 11/25 FIXED 3                          | CUSIP: 31419JTL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          292 | PA      | $290.92         | 0.00%             | 2025-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-HYB1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2025 HYB1 A1A 144A             | CUSIP: 816938AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16200000 | PA      | $16287522.12    | 0.01%             | 2055-10-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 5 25A1                 | CUSIP: 07386HUM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6901948 | PA      | $4624016.02     | 0.00%             | 2035-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-44                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 44 QI              | CUSIP: 38378JRS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       710064 | PA      | $79171.69       | 0.00%             | 2043-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20251014                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $576328.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 1A3          | CUSIP: 02150JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1170226 | PA      | $536560.21      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-8                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 4A1             | CUSIP: 05953LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2160604 | PA      | $1791226.76     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING 2004-5 TRUST                                             | BANC OF AMERICA FUNDING CORPOR BAFC 2004 5 1A18            | CUSIP: 05946XPF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       110046 | PA      | $109589.26      | 0.00%             | 2034-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REGATTA XIX FUNDING LTD                                                          | REGATTA XIX FUNDING LTD REG19 2022 1A A1 144A              | CUSIP: 75888EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     24100000 | PA      | $24116977.49    | 0.01%             | 2035-04-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2025-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2025 CP1 A1 144A              | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46710332 | PA      | $44868113.87    | 0.02%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-680121.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9446 FN 03/53 FIXED 6                          | CUSIP: 3140NEP82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5677957 | PA      | $5831494.72     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-7                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 7 A1             | CUSIP: 69121UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8241978 | PA      | $8918251.58     | 0.00%             | 2037-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2542 FN 02/46 FIXED 4                          | CUSIP: 3140EWZG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70197 | PA      | $67527.62       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251014                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $201.66         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-3A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 3A A3 144A           | CUSIP: 505709AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12900000 | PA      | $12955936.98    | 0.01%             | 2029-03-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A C 144A         | CUSIP: 39571NAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7300000 | PA      | $7408034.16     | 0.00%             | 2060-03-25      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 3A A3 144A       | CUSIP: 96043CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28800000 | PA      | $28957766.40    | 0.01%             | 2028-04-17      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX1348 FN 10/44 FIXED 4                          | CUSIP: 3138Y2QA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5991 | PA      | $5744.85        | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 23A1                 | CUSIP: 07386HVU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       805948 | PA      | $331905.82      | 0.00%             | 2035-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 2A A2 144A       | CUSIP: 78397XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8224094 | PA      | $8233763.59     | 0.00%             | 2027-10-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-2 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 2 AA PTT PASS THRU CE 12/29 3.2            | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8447619 | PA      | $8189708.12     | 0.00%             | 2029-12-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2004-AC3                                            | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC3 A2           | CUSIP: 073879BN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       130254 | PA      | $127104.95      | 0.00%             | 2034-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251010                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1920.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W8                                                     | FANNIEMAE WHOLE LOAN FNW 2002 W8 A3                        | CUSIP: 31392DQ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10978 | PA      | $11577.31       | 0.00%             | 2042-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                                   | GSAA HOME EQUITY TRUST GSAA 2006 10 AF5                    | CUSIP: 362375AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18224002 | PA      | $4056232.69     | 0.00%             | 2036-06-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR8                                                          | BCAP LLC TRUST BCAP 2012 RR8 5A6 144A                      | CUSIP: 05541DBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2033338 | PA      | $1969538.42     | 0.00%             | 2037-05-26      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $5715369.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL1 B 144A          | CUSIP: 52472WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354545498 | PA      | $352969862.59   | 0.17%             | 2070-01-28      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2B               | CUSIP: 617526AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1430034 | PA      | $842533.71      | 0.00%             | 2036-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2007-HE1                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2007 HE1 A1            | CUSIP: 45073DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5106630 | PA      | $1050531.85     | 0.00%             | 2037-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1075 FR 04/52 FIXED 3                  | CUSIP: 3133BAFQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156705 | PA      | $138867.47      | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08623 FG 01/45 FIXED 3.5                | CUSIP: 3128MJVR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3154 | PA      | $2970.06        | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR5                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR5 3A1          | CUSIP: 32051GXT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37354 | PA      | $0.38           | 0.00%             | 2035-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A B 144A                                | CUSIP: ACI2J99M4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     31368000 | PA      | $42376263.26    | 0.02%             | 2050-11-28      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                              | VICI PROPERTIES INC REIT USD.01                            | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |     11625222 | NS      | $379098489.42   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| LCM 35 LTD 35A                                                                   | LCM LTD PARTNERSHIP LCM 35A A1R 144A                       | CUSIP: 50202QAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     53700000 | PA      | $53762623.33    | 0.03%             | 2034-10-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINANCE PLC                                                  | MITCHELLS + BUTLERS FINA SR SECURED REGS 12/30 VAR         | CUSIP: B1FL5YII7<br>LEI: 213800E7QA1U8BF34219 | Long             | DBT              | CORP              | GB        |        24020 | PA      | $23181.82       | 0.00%             | 2030-12-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2591 FN 10/53 FIXED 6                          | CUSIP: 3140NJ2Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       186145 | PA      | $191006.49      | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-7                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 7 2A1             | CUSIP: 059529AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       157090 | PA      | $126057.46      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-28                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 28 A1                     | CUSIP: 126694PF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31610 | PA      | $16662.07       | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH1 A1D          | CUSIP: 02150KAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10031416 | PA      | $8858519.65     | 0.00%             | 2047-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3250 FN 01/28 FIXED 3                          | CUSIP: 31418CTG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28874 | PA      | $28554.65       | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                              | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C               | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13172473 | PA      | $4542233.68     | 0.00%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST  2017-RP1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2017 RP1 PT 144A       | CUSIP: 17326JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81170805 | PA      | $69658032.77    | 0.03%             | 2064-09-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                | VENTURE GLOBAL CALCASIEU SR SECURED 144A 11/33 3.875       | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     10800000 | PA      | $9738790.38     | 0.00%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                                        | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A              | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     79700000 | PA      | $79700000.00    | 0.04%             | 2034-07-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9661 FN 05/47 FIXED 3.5                        | CUSIP: 3138WKWX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137616 | PA      | $128638.24      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251010                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-426024.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 SA 144A        | CUSIP: 12653HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       219611 | PA      | $213314.03      | 0.00%             | 2057-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A20         | CUSIP: 02146TAV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7298326 | PA      | $637977.30      | 0.00%             | 2036-08-25      | Floating      | 0.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $540875.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-2 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 2A A2R 144A        | CUSIP: 05684RAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6300000 | PA      | $6300899.26     | 0.00%             | 2034-07-16      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 376295 FN 03/36 FLOATING VAR                     | CUSIP: 31377F7G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          121 | PA      | $120.85         | 0.00%             | 2036-03-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2908 FN 08/27 FIXED VAR                        | CUSIP: 3138EKGS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48001 | PA      | $47586.17       | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2003-G                                               | MLCC MORTGAGE INVESTORS INC MLCC 2003 G A3                 | CUSIP: 5899295X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          849 | PA      | $841.95         | 0.00%             | 2029-01-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2024-1A                                          | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2024 1A A3 144A       | CUSIP: 55286TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42300000 | PA      | $42854020.02    | 0.02%             | 2032-02-17      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2005-FFH3                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH3 M4            | CUSIP: 32027NVF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30600000 | PA      | $29629208.88    | 0.01%             | 2035-09-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T XA 144A     | CUSIP: 46652WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158100000 | PA      | $934623.96      | 0.00%             | 2042-03-05      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3244 G2 11/45 FIXED 3.5                     | CUSIP: 36179RS91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26785 | PA      | $24964.79       | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA TERM B12                                  | CUSIP: F6628DAK0<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     16956633 | PA      | $18514389.59    | 0.01%             | 2026-02-02      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 4A1           | CUSIP: 933636AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4044477 | PA      | $3727735.10     | 0.00%             | 2036-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                      | NEWGATE FUNDING PLC NGATE 2007 3X BA REGS                  | CUSIP: B2NDQGII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2599495 | PA      | $3415797.01     | 0.00%             | 2050-12-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY7468 FN 03/45 FIXED 4                          | CUSIP: 3138YMJN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1522132 | PA      | $1467568.36     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0072 FN 05/29 FIXED 4                          | CUSIP: 31417YCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24387 | PA      | $24278.65       | 0.00%             | 2029-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BB7917 G2 07/47 FIXED 3.5                     | CUSIP: 3617AYYN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       593744 | PA      | $549278.79      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251027                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $2499985.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $704906.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3393 FN 10/52 FIXED VAR                        | CUSIP: 3140XJXX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79100 | PA      | $74672.52       | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-C                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 C 1A1             | CUSIP: 058930AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       264227 | PA      | $215779.65      | 0.00%             | 2036-04-20      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-HE4                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE4 A2B           | CUSIP: 59023EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3584522 | PA      | $746411.75      | 0.00%             | 2037-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A        | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7011395 | PA      | $5803639.06     | 0.00%             | 2036-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 2A1            | CUSIP: 41161PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12162119 | PA      | $6569105.79     | 0.00%             | 2045-06-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                                         | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A3 144A      | CUSIP: 83611DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58926587 | PA      | $15889854.78    | 0.01%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5629 FN 08/45 FIXED 3.5                        | CUSIP: 3138WFHF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62098 | PA      | $58413.24       | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 4 2A3            | CUSIP: 07387ABP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       574075 | PA      | $573499.65      | 0.00%             | 2035-08-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-14                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 14 A2             | CUSIP: 863579TN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       355303 | PA      | $166480.18      | 0.00%             | 2035-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A3A1          | CUSIP: 251513AW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3230365 | PA      | $2826293.34     | 0.00%             | 2036-10-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2005-2                                                   | NEW YORK MORTGAGE TRUST NYMT 2005 2 A                      | CUSIP: 649603AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       213685 | PA      | $197212.12      | 0.00%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS3                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS3 M2            | CUSIP: 76113ABM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23953500 | PA      | $22118911.02    | 0.01%             | 2036-04-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-OA2        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA2 2A           | CUSIP: 93935QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12825941 | PA      | $11055851.91    | 0.01%             | 2047-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-C                                                | CPS AUTO TRUST CPS 2024 C A 144A                           | CUSIP: 223920AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11292552 | PA      | $11322907.23    | 0.01%             | 2028-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8482 FR 03/28 FIXED 2                  | CUSIP: 3132A9M79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25358 | PA      | $24800.25       | 0.00%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                           | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A            | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    120200000 | PA      | $120326210.00   | 0.06%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 SIO 144A     | CUSIP: 36263MCL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234948895 | PA      | $8840774.51     | 0.00%             | 2052-03-25      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                      | URSA RE LTD UNSECURED 144A 02/28 VAR                       | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |     25300000 | PA      | $25528965.00    | 0.01%             | 2028-02-22      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-6                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 6 A2              | CUSIP: 059526AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9979591 | PA      | $9584181.01     | 0.00%             | 2037-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-4                                                 | AEGIS ASSET BACKED SECURITIES AABST 2004 4 M2              | CUSIP: 00764MCU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2703767 | PA      | $2951293.43     | 0.00%             | 2034-10-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-130715.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5748 FN 12/53 FIXED 6.5                        | CUSIP: 3140A6L61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10779549 | PA      | $11183921.17    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290508                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $1593865.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-1F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 1F 2A3                    | CUSIP: 3622MPAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       168627 | PA      | $812626.92      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8509 FR 02/55 FIXED 7                  | CUSIP: 3132DWN25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    365173154 | PA      | $382303506.68   | 0.19%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 2000-A                                            | OAKWOOD MORTGAGE INVESTORS INC OAK 2000 A A3               | CUSIP: 67087TBB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2929354 | PA      | $351932.34      | 0.00%             | 2049-03-15      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING 2005-2 TRUST                                             | BANC OF AMERICA FUNDING CORPOR BAFC 2005 2 1A16            | CUSIP: 05946XTF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        64732 | PA      | $65901.30       | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $22581.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251229                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-71749.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | FORD MOTOR COMPANY SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $221372.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH5806 FN 02/26 FIXED 3.5                        | CUSIP: 3138A7NY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          188 | PA      | $187.08         | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 04/46 7.75           | CUSIP: ACI2ML745<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     25300000 | PA      | $24255445.32    | 0.01%             | 2046-04-30      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4690 FN 03/30 FIXED 2.5                        | CUSIP: 3138WEF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18960 | PA      | $18426.98       | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM36 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $4591362.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE9                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE9 M1                | CUSIP: 61744CJT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1610560 | PA      | $1553835.23     | 0.00%             | 2034-11-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995977 FN 05/39 FIXED VAR                        | CUSIP: 31416CM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       409212 | PA      | $431452.65      | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KDAC AIRCRAFT FINANCE LTD 2017-1A                                                | KDAC AVIATION FINANCE LIMITED KDAC 2017 1A A 144A          | CUSIP: 48244XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |      6780065 | PA      | $6735967.24     | 0.00%             | 2042-12-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2015-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2015 4 B2 144A              | CUSIP: 89171UAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20000000 | PA      | $19585956.00    | 0.01%             | 2055-04-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-1                                              | SAXON ASSET SECURITIES TRUST SAST 2005 1 M3                | CUSIP: 805564RP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1657986 | PA      | $1374157.64     | 0.00%             | 2035-05-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM1 TRUST                                                             | PRP ADVISORS, LLC PRPM 2025 NQM1 A1 144A                   | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33689770 | PA      | $34071697.14    | 0.02%             | 2069-11-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-6                                                 | TOWD POINT MORTGAGE TRUST TPMT 2018 6 M1 144A              | CUSIP: 89176LAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24668000 | PA      | $21916797.69    | 0.01%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5621 FN 01/53 FIXED 5.5                        | CUSIP: 3140NAG72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2262531 | PA      | $2288676.97     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-1                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 1 A1               | CUSIP: 02660BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25630185 | PA      | $8858214.73     | 0.00%             | 2047-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA 2023 EUR TERM LOAN B14                    | CUSIP: F6628DAP9<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     14480731 | PA      | $16122749.87    | 0.01%             | 2028-08-15      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8036 FN 04/47 FIXED 4                          | CUSIP: 3140FT4W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4767 | PA      | $4567.80        | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.39250 10/25/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2680721.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-242748.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $3411516.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3664 FN 03/49 FIXED VAR                        | CUSIP: 3140X7CA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12312 | PA      | $11794.47       | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2 JUMBOS                                 | CUSIP: 21H0206B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85000000 | PA      | $70289580.40    | 0.03%             | 2055-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX0961 FN 08/44 FIXED 4                          | CUSIP: 3138Y2B77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       279928 | PA      | $270844.67      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA1028 FN 10/45 FIXED 4                          | CUSIP: 3140E5EA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25929 | PA      | $24946.15       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHESTER A CESTR 1 AA C 144A                                | CUSIP: ACI1BFKC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    116569000 | PA      | $157339538.82   | 0.08%             | 2046-03-17      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6406 FN 12/45 FIXED 4                          | CUSIP: 3138WGDL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29902 | PA      | $28768.29       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R2                                    | MORGAN STANLEY REREMIC TRUST MSRR 2015 R2 2B 144A          | CUSIP: 61690HAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14227091 | PA      | $11113368.44    | 0.01%             | 2046-12-27      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ4051 FN 10/41 FIXED 4                          | CUSIP: 3138AVQD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1802 | PA      | $1755.13        | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRAPEZA CDO LLC 2007-13A                                                         | TRAPEZA CDO LLC TRAP 2007 13A A1 144A                      | CUSIP: 894135AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10902836 | PA      | $10466722.94    | 0.01%             | 2042-11-09      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2005-FF8                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF8 M3             | CUSIP: 362341QT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10124908 | PA      | $9404381.90     | 0.00%             | 2035-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                                 | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    414800000 | PA      | $390001642.43   | 0.19%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AAA TRUST 2005-1A                                                                | AAA TRUST AAA 2005 1A 1A3B 144A                            | CUSIP: 31738PAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1134817 | PA      | $1091554.13     | 0.00%             | 2035-02-27      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8669 FR 02/53 FIXED 5                  | CUSIP: 3133BWT29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       833769 | PA      | $832733.33      | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 B 144A        | CUSIP: 17329NAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27534557 | PA      | $14530814.52    | 0.01%             | 2065-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-612652.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 748135 FN 11/33 FIXED 6.5                        | CUSIP: 31403GEG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11923 | PA      | $12305.98       | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1997-1                                                 | CONSECO FINANCIAL CORP GT 1997 1 M1                        | CUSIP: 393505SK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       279179 | PA      | $280765.52      | 0.00%             | 2028-03-15      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R11                                                 | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R11 M3            | CUSIP: 03072SWS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2244790 | PA      | $2192729.84     | 0.00%             | 2034-11-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7187 FN 10/47 FIXED 4                          | CUSIP: 3140GV6Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75875 | PA      | $72972.94       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 15 4A                     | CUSIP: 12669FL50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       852891 | PA      | $851105.12      | 0.00%             | 2034-10-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2005-6          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 6 2A1            | CUSIP: 92922FX94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       798731 | PA      | $710850.08      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535599 FN 10/40 FLOATING VAR                     | CUSIP: 31384V7L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7395 | PA      | $7431.66        | 0.00%             | 2040-10-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3065 FN 12/47 FIXED VAR                        | CUSIP: 3140J7MP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4105847 | PA      | $3842636.11     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-BC6                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 BC6 A1            | CUSIP: 86362VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12449251 | PA      | $11874205.35    | 0.01%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A D 144A         | CUSIP: 21055PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20947569 | PA      | $21826118.64    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4940 FN 03/42 FIXED 3.5                        | CUSIP: 3138E9P20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14771 | PA      | $14050.59       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1025 FR 04/53 FIXED 6                  | CUSIP: 3133C1D64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10143871 | PA      | $10423903.51    | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080461 G2 10/30 FLOATING VAR                  | CUSIP: 36225CQP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10971 | PA      | $11006.97       | 0.00%             | 2030-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CONSECO FIN SEC CORP 1999-6                                                      | CONSECO FINANCE SECURITIZATION CNF 1999 6 A1 144A          | CUSIP: 20846QAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49422621 | PA      | $12896852.60    | 0.01%             | 2030-06-01      | Fixed         | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9343 FN 03/47 FIXED 3.5                        | CUSIP: 3140FVLZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137653 | PA      | $127983.94      | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2003-FF3                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2003 FF3 1A             | CUSIP: 32027NDF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2096059 | PA      | $2207305.64     | 0.00%             | 2033-07-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-9                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 9 MF2              | CUSIP: 126673GC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1888142 | PA      | $1858060.60     | 0.00%             | 2034-11-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-4                                              | SAXON ASSET SECURITIES TRUST SAST 2005 4 M3                | CUSIP: 805564TL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4873000 | PA      | $4222290.77     | 0.00%             | 2037-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M3              | CUSIP: 126670LR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17936824 | PA      | $17844167.56    | 0.01%             | 2036-04-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL10 LLC                                                              | PRET 2025 NPL10 LLC 10/55 5.2498                           | CUSIP: 69392WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175400000 | PA      | $175323190.59   | 0.09%             | 2055-10-25      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4673 FN 06/47 FIXED 4                          | CUSIP: 3140FQFP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11664 | PA      | $11213.31       | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $100544.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2177 FN 02/35 FIXED 4                          | CUSIP: 31418BM37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3079 | PA      | $3055.98        | 0.00%             | 2035-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $540000.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.78300 02/07/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $471539.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $125448.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256738 FN 05/27 FIXED 6.5                        | CUSIP: 31371NEK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1142 | PA      | $1178.40        | 0.00%             | 2027-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7277 FN 09/43 FIXED 4                          | CUSIP: 3138WVCP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25882 | PA      | $24789.13       | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                           | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A1            | CUSIP: 84751NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5151307 | PA      | $4155117.50     | 0.00%             | 2037-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $4830.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A R 144A         | CUSIP: 21056DAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20645640 | PA      | $9451684.24     | 0.00%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                         | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M5           | CUSIP: 83611PBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3946000 | PA      | $3909787.16     | 0.00%             | 2035-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC36                                    | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 GC36 A4           | CUSIP: 17324TAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14749617 | PA      | $14718049.67    | 0.01%             | 2049-02-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                         | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 1A1          | CUSIP: 66988UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61452221 | PA      | $22048153.59    | 0.01%             | 2046-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A23          | CUSIP: 92922FD62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       608871 | PA      | $608872.47      | 0.00%             | 2045-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-18                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 6A1            | CUSIP: 863579XK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       680850 | PA      | $611408.78      | 0.00%             | 2035-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR REGS 04/27 2.75           | CUSIP: ACI0CBT55<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      7200000 | PA      | $8370214.63     | 0.00%             | 2027-04-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ACADEMIC LOAN FUNDING TRUST 2013-1A                                              | ACADEMIC LOAN FUNDING TRUST ALFT 2013 1A A 144A            | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1185524 | PA      | $1168209.24     | 0.00%             | 2044-12-26      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC7847 FN 01/55 FIXED 7                          | CUSIP: 3140AVWH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9483584 | PA      | $9940803.35     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING TRUST XIII LLC 2021-2A                                          | OSCAR US FUNDING TRUST OSCAR 2021 2A A4 144A               | CUSIP: 68785BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |      2140608 | PA      | $2076758.51     | 0.00%             | 2028-09-11      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-6          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 6 1CB1           | CUSIP: 93935GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13289050 | PA      | $11744650.71    | 0.01%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35           | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      7300000 | PA      | $7615099.68     | 0.00%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE0604 FR 04/52 FIXED 4                  | CUSIP: 3133B9U51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52929 | PA      | $50010.58       | 0.00%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-48847.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.50000 10/27/22-27Y* LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-4568149.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $20271.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 1A1B          | CUSIP: 25151XAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25649847 | PA      | $23920013.37    | 0.01%             | 2047-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7981 FN 02/47 FIXED 4                          | CUSIP: 3140FT2P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       320835 | PA      | $310899.36      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-365012.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.38000 12/31/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-706063.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4920 FN 02/53 FIXED 6                          | CUSIP: 31418EPE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       682301 | PA      | $699485.65      | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.64750 01/08/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-44633.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-B                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 B M2             | CUSIP: 64352VNL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35480212 | PA      | $31217860.60    | 0.02%             | 2035-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 6A1            | CUSIP: 61749LAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        95431 | PA      | $93615.45       | 0.00%             | 2036-06-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A          | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       405077 | PA      | $380675.68      | 0.00%             | 2046-06-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2005-2                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2005 2 M5             | CUSIP: 61744CQP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3749115 | PA      | $3710385.05     | 0.00%             | 2035-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0133 FR 09/52 FIXED 4                  | CUSIP: 3133BMEE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1271805 | PA      | $1202941.22     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-147588.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9031 FN 10/47 FIXED 4                          | CUSIP: 3140GYA90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        88012 | PA      | $84747.68       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD0421 FN 06/46 FIXED 4                          | CUSIP: 3140F7PF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21370 | PA      | $20512.45       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1395 FN 08/34 FIXED VAR                        | CUSIP: 3140X4RR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43470 | PA      | $42107.86       | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-ASAP3                     | ACE SECURITIES CORP. ACE 2006 ASP3 A1                      | CUSIP: 00442VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9629980 | PA      | $9284346.97     | 0.00%             | 2036-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3590 FN 03/48 FIXED VAR                        | CUSIP: 3140J77C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       171730 | PA      | $159666.86      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/0.75000 09/21/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $145013002.91   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5003 FR 08/39 FIXED 3.5                | CUSIP: 3133KYRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       114648 | PA      | $110181.06      | 0.00%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 1A1           | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1099786 | PA      | $967373.13      | 0.00%             | 2037-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0311 FN 03/46 FIXED 4.5                        | CUSIP: 3140EUKZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4624 | PA      | $4594.44        | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2024-1                                         | JP MORGAN SEASONED MORTGAGE TR JPSMT 2024 1 A3 144A        | CUSIP: 61777HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4394700 | PA      | $4233430.19     | 0.00%             | 2063-01-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2B             | CUSIP: 14319FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2245300 | PA      | $2247149.20     | 0.00%             | 2027-09-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897160 FN 09/36 FIXED 6                          | CUSIP: 31410TWV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1596 | PA      | $1662.76        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2440 FN 01/47 FIXED 3.5                        | CUSIP: 3140F9WA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       561797 | PA      | $525324.27      | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 3 3A2                     | CUSIP: 126694YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          518 | PA      | $204.90         | 0.00%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251229                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-37036.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2521 G2 01/45 FIXED 3.5                     | CUSIP: 36179QYS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82351 | PA      | $77001.67       | 0.00%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-4961914.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 1 A5                      | CUSIP: 170255AP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1944945 | PA      | $825430.53      | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 A3 144A       | CUSIP: 14687WAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52000000 | PA      | $52098113.60    | 0.03%             | 2029-01-10      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251031                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1739347.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                         | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/30 4.75          | CUSIP: 80414L2X2<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    197600000 | PA      | $200447702.52   | 0.10%             | 2030-06-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $248400.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2005-EFC2                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC2 M6           | CUSIP: 76112BVU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5457442 | PA      | $5408617.47     | 0.00%             | 2035-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR5                                                | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR5 2A1A                | CUSIP: 23332UFF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1200850 | PA      | $628726.65      | 0.00%             | 2045-09-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM8015 FR 09/48 FIXED 4                  | CUSIP: 3131Y23Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8841 | PA      | $8513.05        | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 11A1                 | CUSIP: 07386HA92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1195209 | PA      | $1136837.84     | 0.00%             | 2036-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-WMC2                                 | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 WMC2 A2C          | CUSIP: 59020U6L4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21481855 | PA      | $4217240.48     | 0.00%             | 2037-03-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| YELLOW TULIP BIDCO BV                                                            | YELLOW TULIP ASSETCO B.V. GALIBIER ASSETCO PPN             | CUSIP: ACI2QBL39<br>LEI: 7245007F7OM6G569EP33 | Long             | DBT              | CORP              | NL        |     45750000 | PA      | $53318004.97    | 0.03%             | 2036-07-30      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-12199.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS1017 FR 01/36 FIXED 6.5                | CUSIP: 3132A1DW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2117 | PA      | $2222.17        | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INC 2006-AHL1                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AHL1 A2C          | CUSIP: 590210AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5555452 | PA      | $3292553.34     | 0.00%             | 2037-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-34A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 34A 3A1           | CUSIP: 86359A4Z3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11463 | PA      | $11389.78       | 0.00%             | 2033-11-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH1 M3           | CUSIP: 17311CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2449704.25     | 0.00%             | 2037-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA1000 FN 02/55 FIXED VAR                        | CUSIP: 3140W1DE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49063547 | PA      | $51384984.92    | 0.03%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A D 144A          | CUSIP: 83407UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5461000 | PA      | $5652119.87     | 0.00%             | 2034-03-27      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX0895 FN 10/44 FIXED 4                          | CUSIP: 3138Y17H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       208323 | PA      | $202208.30      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4900 G2 12/47 FIXED 3.5                     | CUSIP: 36179TNR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       348344 | PA      | $324914.45      | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-HE4                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE4 A1            | CUSIP: 59023EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2423468 | PA      | $1377763.65     | 0.00%             | 2037-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ0419 FR 07/54 FIXED 7                  | CUSIP: 3133CQPC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       704514 | PA      | $738031.77      | 0.00%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2412                                                                 | FREDDIE MAC FHR 2412 OS                                    | CUSIP: 31339DVK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       220914 | PA      | $241664.87      | 0.00%             | 2031-12-15      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| AVOCA STATIC CLO I DAC 1A                                                        | AVOCA STATIC CLO AVOST 1A AR 144A                          | CUSIP: ACI2S1S08<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     34919950 | PA      | $40959261.06    | 0.02%             | 2035-01-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| TARANIS REINSURANCE DESIGNATED ACTIVITY COMPANY                                  | TARANIS REINSURANCE DAC TARANIS REINSURANCE DAC            | CUSIP: ACI2LHCP2<br>LEI: 635400FQ9HHTLYKADZ22 | Long             | DBT              | CORP              | IE        |     13300000 | PA      | $15557098.78    | 0.01%             | 2028-01-21      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $675511.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2010-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2010 3 2A2 144A        | CUSIP: 17316DAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10926185 | PA      | $4615236.03     | 0.00%             | 2037-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2450 FN 01/47 FIXED 3.5                        | CUSIP: 3140F9WL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5900494 | PA      | $5525904.47     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2024-BA ASSET-BACKED NOTES              | FORD AUTO SECURITIZATION TRUST FASTR 2024 BA A2 144A       | CUSIP: 345214BT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     36900000 | PA      | $26711335.17    | 0.01%             | 2028-11-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2004-OPT5                                             | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A1           | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1591966 | PA      | $1603254.36     | 0.00%             | 2034-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A D 144A               | CUSIP: 193938AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3842876 | PA      | $3935068.98     | 0.00%             | 2055-05-25      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA2                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA2 2A1          | CUSIP: 32051GHL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2659621 | PA      | $2623711.94     | 0.00%             | 2035-04-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BQ0015 FN 07/50 FIXED 4                          | CUSIP: 3140KKAR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       237760 | PA      | $226988.11      | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MTGE INVESTMENT CORP 2005-1                                           | FIELDSTONE MORTGAGE INVESTMENT FMIC 2005 1 M6              | CUSIP: 31659TDF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2264296 | PA      | $1960546.73     | 0.00%             | 2035-03-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO4                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO4 1A1           | CUSIP: 761118NL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8689795 | PA      | $7194565.11     | 0.00%             | 2045-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A1A           | CUSIP: 93362YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1010707 | PA      | $934545.16      | 0.00%             | 2046-06-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 23A1         | CUSIP: 073888AQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       548589 | PA      | $485573.89      | 0.00%             | 2036-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22902.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0705 FN 01/26 FIXED VAR                        | CUSIP: 31419AYB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           59 | PA      | $58.87          | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95             | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     69389000 | PA      | $68919129.61    | 0.03%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC1                                        | STRUCTURED ASSET SECURITIES CO SASC 2006 BC1 A2            | CUSIP: 86359YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9318355 | PA      | $9112928.06     | 0.00%             | 2036-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 3 LTD 2016-3A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 3A A1R 144A       | CUSIP: 03330EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9700000 | PA      | $9392761.04     | 0.00%             | 2039-01-28      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $34182.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $0.04           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX5325 FR 02/55 FIXED 7                  | CUSIP: 31426A4K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7425891 | PA      | $7794186.48     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INV TR 2005-3                                             | AMERICAN HOME MORTGAGE INVESTM AHM 2005 3 2A4              | CUSIP: 02660TGA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27045993 | PA      | $10084317.65    | 0.00%             | 2035-09-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX0836 FN 09/44 FIXED 4                          | CUSIP: 3138Y14W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3193146 | PA      | $3105686.77     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2025 2 A2             | CUSIP: 80287NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105816593 | PA      | $106024290.15   | 0.05%             | 2028-06-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3310 FN 03/38 FIXED 4                          | CUSIP: 31418CVC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10310 | PA      | $10155.36       | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 3A5                   | CUSIP: 362341FN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       762494 | PA      | $457749.87      | 0.00%             | 2035-07-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 B1 144A      | CUSIP: 36265TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15787000 | PA      | $13915613.76    | 0.01%             | 2061-06-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| NRPLM 2023-RPL1                                                                  | NRPLM TRUST SERIES NRPLM 2023 RPL1 CERT 144A               | CUSIP: 628989AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7133768 | PA      | $5870199.96     | 0.00%             | 2062-09-27      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL5                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL5 B1 144A         | CUSIP: 52474TAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163172143 | PA      | $162907429.20   | 0.08%             | 2058-08-26      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2864 FN 01/47 FIXED 3.5                        | CUSIP: 31418CFE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22338 | PA      | $20971.56       | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER CLO LTD 2017-3A                                            | WIND RIVER CLO LTD WINDR 2017 3A AR2 144A                  | CUSIP: 97316LAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    134200000 | PA      | $134407006.18   | 0.07%             | 2035-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-E                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 E 2A3            | CUSIP: 43709XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3074398 | PA      | $2193277.23     | 0.00%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-1                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 1 A3             | CUSIP: 80288AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3880161 | PA      | $3886334.35     | 0.00%             | 2028-04-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-26                                                        | FANNIE MAE FNR 2019 26 FM                                  | CUSIP: 3136B4VX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3505412 | PA      | $3415069.79     | 0.00%             | 2049-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD3 A1 144A        | CUSIP: 23244AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94374 | PA      | $94002.25       | 0.00%             | 2036-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2013-MH1                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2013 MH1 A 144A          | CUSIP: 12647RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80049010 | PA      | $72155797.69    | 0.04%             | 2053-05-27      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $43958.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q45872 FG 01/47 FIXED 3                  | CUSIP: 3132WKQ27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5909316 | PA      | $5350415.16     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-5                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 5 3A1            | CUSIP: 07386YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2818599 | PA      | $2471307.34     | 0.00%             | 2047-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7075 FN 12/25 FIXED 3.5                        | CUSIP: 31419H2H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11405 | PA      | $11368.02       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-HE1              | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE1 A1A          | CUSIP: 04544RAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1593804 | PA      | $1552778.48     | 0.00%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2005-BC1                                          | SPECIALTY UNDERWRITING + RESID SURF 2005 BC1 M4            | CUSIP: 84751PEU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3904199 | PA      | $3899420.82     | 0.00%             | 2035-12-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6096 FN 09/53 FIXED 6                          | CUSIP: 3140NNX26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        90365 | PA      | $92460.07       | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2B 144A       | CUSIP: 78449VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2526251 | PA      | $2519237.76     | 0.00%             | 2054-09-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 789835 FH 09/32 FLOATING VAR             | CUSIP: 31295N4U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16157 | PA      | $16494.75       | 0.00%             | 2032-09-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-NC1                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 NC1 M4            | CUSIP: 86359BZ46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5546279 | PA      | $5938780.97     | 0.00%             | 2035-02-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A           | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        63129 | PA      | $60796.72       | 0.00%             | 2042-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA7                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA7 2A1          | CUSIP: 32051GSQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1529858 | PA      | $1358261.11     | 0.00%             | 2035-09-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 3A1                 | CUSIP: 46631JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2149543 | PA      | $1663091.24     | 0.00%             | 2037-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX9880 FR 04/55 FIXED 6.5                | CUSIP: 31426G6S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999900 | PA      | $1034404.44     | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                                  | REPUBLIC OF VENEZUELA SR UNSECURED REGS 08/31 11.95        | CUSIP: P17625AD9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     64700000 | PA      | $15631520.00    | 0.01%             | 2031-08-05      | Fixed         | 11.95%                | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2007-AR10                           | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR10 1A1         | CUSIP: 94986MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2917458 | PA      | $2651335.20     | 0.00%             | 2038-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 2 23A1                 | CUSIP: 07386HF71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4990042 | PA      | $4068824.23     | 0.00%             | 2036-03-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH9537 FN 05/26 FIXED 4                          | CUSIP: 3138ABS34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          180 | PA      | $178.95         | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-616475.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ3                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ3 M5                | CUSIP: 70069FJT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10093466 | PA      | $9766131.81     | 0.00%             | 2035-06-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 4A11            | CUSIP: 007036QK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23434 | PA      | $18429.22       | 0.00%             | 2035-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-G                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 G 2A1            | CUSIP: 05949CED4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1010036 | PA      | $964580.26      | 0.00%             | 2035-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7838 FN 08/46 FIXED 3                          | CUSIP: 3138WHV82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21975 | PA      | $19879.43       | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                                     | ACE SECURITIES CORP. ACE 2007 HE2 A2B                      | CUSIP: 00443PAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14201641 | PA      | $7517264.99     | 0.00%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1132 FN 01/48 FIXED 4.5                        | CUSIP: 3140H2HJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       547867 | PA      | $539287.36      | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 3A2            | CUSIP: 41161PHF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22338 | PA      | $18994.24       | 0.00%             | 2034-11-19      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST B 144A       | CUSIP: 05555XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45363515 | PA      | $40152081.82    | 0.02%             | 2052-08-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 04/42 2.375          | CUSIP: ACI1LVZ52<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |      6300000 | PA      | $5753806.56     | 0.00%             | 2042-04-22      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2006-11                                             | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 11 1A4             | CUSIP: 61749WAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5750684 | PA      | $1142658.61     | 0.00%             | 2036-08-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-17CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 17CB 3A1         | CUSIP: 12667FNY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1370384 | PA      | $1296663.60     | 0.00%             | 2034-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 SA 144A       | CUSIP: 17330EAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       454099 | PA      | $451793.25      | 0.00%             | 2061-08-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA ROMANIA                                            | CUSIP: ACI2MY762<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     80200000 | PA      | $95950706.31    | 0.05%             | 2031-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA1 A1            | CUSIP: 25151VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4241912 | PA      | $2395845.54     | 0.00%             | 2047-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-1 TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 1 A 144A          | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20544271 | PA      | $20652734.32    | 0.01%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                            | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C           | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5007940 | PA      | $1654545.30     | 0.00%             | 2036-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7557 FR 02/53 FIXED 4                  | CUSIP: 3133BVME2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       528777 | PA      | $502455.33      | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                             | VASA TRUST VASA 2021 VASA A 144A                           | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17800000 | PA      | $17438412.58    | 0.01%             | 2039-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH2377 FN 01/26 FIXED 3                          | CUSIP: 3138A3UB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          180 | PA      | $178.86         | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK4187 FN 03/48 FIXED 3.5                        | CUSIP: 3140HHUM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       283386 | PA      | $264034.21      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC8                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC8 2A            | CUSIP: 86358EDV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2632533 | PA      | $2559744.87     | 0.00%             | 2033-08-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF1573 FR 10/52 FIXED 5.5                | CUSIP: 3133BNXA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6435578 | PA      | $6516886.49     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS B 144A                   | CUSIP: 90137LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11311000 | PA      | $10677584.00    | 0.01%             | 2035-05-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S1                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S1 1A16          | CUSIP: 46627MEN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1274486 | PA      | $592635.68      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVIII LTD/PREFERRED TERM SECURITIES XXVIII INC        | PREF TERM SEC XXVIII LTD SECURED 144A 03/38 VAR            | CUSIP: 74042CAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     16829499 | PA      | $13127009.17    | 0.01%             | 2038-03-22      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC3                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC3 M6           | CUSIP: 76112BYY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1148347 | PA      | $1137991.64     | 0.00%             | 2035-08-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO4151 FN 06/42 FIXED 3.5                        | CUSIP: 3138LUTH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10378 | PA      | $9826.94        | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB1 2A                   | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26418 | PA      | $25413.01       | 0.00%             | 2034-05-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK7590 FR 01/29 FIXED 3                  | CUSIP: 3131XBNF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       963082 | PA      | $951326.48      | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-A                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1            | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1747827 | PA      | $1625847.13     | 0.00%             | 2036-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW6224 FN 08/52 FIXED 6                          | CUSIP: 3140MX4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24905 | PA      | $25631.83       | 0.00%             | 2052-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7682 FN 12/47 FIXED 3.5                        | CUSIP: 3140GWRC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34035 | PA      | $31794.77       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1           | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        57178 | PA      | $26035.04       | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MRTG PA-TH 2006-AR10                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR10 A3A         | CUSIP: 93935YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2377099 | PA      | $1974456.19     | 0.00%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 3 C              | CUSIP: 80285XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000000 | PA      | $112091474.00   | 0.06%             | 2030-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918          | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     21973000 | PA      | $22353643.33    | 0.01%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 SA 144A        | CUSIP: 12594YAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       176583 | PA      | $174490.41      | 0.00%             | 2056-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-94617.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 7A1             | CUSIP: 007036JA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       531471 | PA      | $515345.17      | 0.00%             | 2035-07-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                                             | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A M4 144A       | CUSIP: 07325QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       880082 | PA      | $902425.49      | 0.00%             | 2037-03-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-13852.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LOAN ASSET-BACKED                                             | CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 2 2A1             | CUSIP: 161551FX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23613 | PA      | $23597.88       | 0.00%             | 2032-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 B A2              | CUSIP: 14320BAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58800000 | PA      | $58832792.76    | 0.03%             | 2029-03-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR7                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR7 A1            | CUSIP: 45660NT88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48145 | PA      | $42193.50       | 0.00%             | 2034-09-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G2321 FH 12/37 FLOATING VAR             | CUSIP: 3128QSSJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1287 | PA      | $1331.34        | 0.00%             | 2037-12-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.97000 02/27/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1838295.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1249355.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL6                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL6 A1 144A      | CUSIP: 69381QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24216280 | PA      | $24287489.94    | 0.01%             | 2054-10-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A4          | CUSIP: 12668RAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4402340 | PA      | $3586277.56     | 0.00%             | 2047-02-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-6                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 6 A4             | CUSIP: 02150AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       339218 | PA      | $174099.68      | 0.00%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A2          | CUSIP: 12668BE33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10064121 | PA      | $9179155.11     | 0.00%             | 2046-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A1         | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1416482 | PA      | $1371275.06     | 0.00%             | 2045-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A8          | CUSIP: 12667GKH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       594155 | PA      | $442497.50      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1496 FN 09/49 FIXED VAR                        | CUSIP: 3140X4UW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       100036 | PA      | $92479.45       | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/30 VAR                   | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    163400000 | PA      | $163871147.56   | 0.08%             | 2030-05-08      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $377166.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3103 FN 08/27 FIXED 3                          | CUSIP: 31418CNV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70590 | PA      | $69880.99       | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9941 FN 09/47 FIXED 4                          | CUSIP: 3140H0BK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87728 | PA      | $84340.84       | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                                 | CUSIP: 21H0606A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1531693000 | PA      | $1557991893.11  | 0.77%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 11A1           | CUSIP: 07384M2V3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       636243 | PA      | $581148.98      | 0.00%             | 2034-11-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 1A1          | CUSIP: 12668AHZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2448230 | PA      | $1188066.92     | 0.00%             | 2035-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA STRUCTURED SECURITIES TRUST 2025-S3                           | FINANCE OF AMERICA STRUCTURED FASST 2025 S3 A1 144A        | CUSIP: 316919AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    877823000 | PA      | $852542224.29   | 0.42%             | 2055-09-25      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251010                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $554.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RAMP TRUST 2004-RS2                                                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS2 MII1          | CUSIP: 760985R37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201939 | PA      | $201858.11      | 0.00%             | 2034-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCH1                                              | PARK PLACE SECURITIES INC PPSI 2005 WCH1 M5                | CUSIP: 70069FFM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5724195 | PA      | $5517094.40     | 0.00%             | 2036-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5914 FN 04/49 FIXED VAR                        | CUSIP: 3140JASC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27603 | PA      | $25518.84       | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 H 9A1             | CUSIP: 05946XK36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1368728 | PA      | $1149189.84     | 0.00%             | 2035-11-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q53695 FG 01/48 FIXED 3.5                | CUSIP: 3132XWC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       873927 | PA      | $816473.54      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8067 FR 02/53 FIXED 6                  | CUSIP: 3133BV6C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       872042 | PA      | $895832.20      | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-34                                                        | FANNIE MAE FNR 2013 34 PC                                  | CUSIP: 3136ADQM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1706446 | PA      | $1637480.64     | 0.00%             | 2042-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC  2024-NPL8                                  | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL8 A1 144A      | CUSIP: 69392DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29955258 | PA      | $30009896.85    | 0.01%             | 2054-11-25      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP2                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP2 1AF 144A          | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2062221 | PA      | $1943132.37     | 0.00%             | 2035-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2022-2                                                | FLAGSHIP CREDIT AUTO TRUST FCAT 2022 2 B 144A              | CUSIP: 33844XAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7349201 | PA      | $7349306.36     | 0.00%             | 2027-05-17      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5201 FN 09/47 FIXED 3.5                        | CUSIP: 3140GTX70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       457960 | PA      | $428514.31      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZI6345 FR 08/37 FIXED 6.5                | CUSIP: 3131WKBN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          548 | PA      | $575.15         | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0405 FN 03/40 FIXED 6                          | CUSIP: 31417YNX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2513 | PA      | $2599.56        | 0.00%             | 2040-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-6                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 6 A2C                  | CUSIP: 66988RAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1074928 | PA      | $354645.97      | 0.00%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M1          | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       167451 | PA      | $166153.58      | 0.00%             | 2035-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA3876 FN 07/49 FIXED 3.5                        | CUSIP: 3140QBJW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18110 | PA      | $16762.81       | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW3782 FN 09/52 FIXED 4                          | CUSIP: 3140MVFY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       292471 | PA      | $276170.67      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-390834.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A1           | CUSIP: 44328AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2179367 | PA      | $775320.63      | 0.00%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED 144A 01/29 5.125               | CUSIP: 02156LAE1<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     23300000 | PA      | $20052562.50    | 0.01%             | 2029-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-4                                            | CONSECO FINANCE SECURITIZATION CNF 2000 4 A6               | CUSIP: 20846QDV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40754429 | PA      | $5491088.68     | 0.00%             | 2032-05-01      | Fixed         | 8.31%                 | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2020-A                                                    | SOFI ALTERNATIVE TRUST SAT 2020 A R1 144A                  | CUSIP: 83406X103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       950000 | PA      | $15692025.95    | 0.01%             | 2046-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-29CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 29CB A3          | CUSIP: 12667FZH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6836591 | PA      | $6894644.56     | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54036 FG 02/48 FIXED 3.5                | CUSIP: 3132XWPW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4625726 | PA      | $4296772.10     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                     | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1644104 | PA      | $1552584.36     | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-3                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 3 M1             | CUSIP: 69121PAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4743623 | PA      | $4092582.52     | 0.00%             | 2036-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS0655 FR 08/32 FIXED 6.5                | CUSIP: 3132A0WQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2051 | PA      | $2135.99        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORPORATION                                                       | SPRINT CAPITAL CORP COMPANY GUAR 03/32 8.75                | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |     25100000 | PA      | $30586713.92    | 0.02%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2          | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2828937 | PA      | $2751653.79     | 0.00%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR18 3A1          | CUSIP: 92922F8T8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       169495 | PA      | $167697.55      | 0.00%             | 2036-01-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 624885 FN 01/32 FIXED 6.5                        | CUSIP: 31389GF21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2616 | PA      | $2732.00        | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A E 144A         | CUSIP: 21056EAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5711473 | PA      | $5804308.65     | 0.00%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251027                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $2504774.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.9271 05/08/25-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-2994997.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-18N                                                         | LEHMAN XS TRUST LXS 2006 18N A4                            | CUSIP: 52522GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2285802 | PA      | $1846084.42     | 0.00%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                                       | ARES CLO LTD ARES 2013 2A AR3 144A                         | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     84300000 | PA      | $84439953.17    | 0.04%             | 2034-10-28      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1658148.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1             | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |      5600000 | PA      | $0.06           | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF9943 FR 04/53 FIXED 6                  | CUSIP: 3133BYBL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21782 | PA      | $22333.63       | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.66500 01/24/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $208453.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-WMC3                                              | MASTR ASSET BACKED SECURITIES MABS 2006 WMC3 A5            | CUSIP: 55291KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20383523 | PA      | $6998735.72     | 0.00%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SEC 2006-7                                           | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 7 2A1            | CUSIP: 94982XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       216027 | PA      | $196307.48      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 4A1                   | CUSIP: 362341FP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       142330 | PA      | $141126.41      | 0.00%             | 2035-07-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.28000 09/16/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $5159044.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 629091 FN 04/32 FIXED 6.5                        | CUSIP: 31389L2Y4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          566 | PA      | $584.13         | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD9147 FN 08/40 FIXED 4.5                        | CUSIP: 31418XEV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13710 | PA      | $13759.28       | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A4            | CUSIP: 14688PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28000000 | PA      | $28567526.40    | 0.01%             | 2030-06-10      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A Z 144A                         | CUSIP: ACI2SNZ44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     45974000 | PA      | $50457322.90    | 0.02%             | 2066-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4464 FN 11/34 FIXED 3                          | CUSIP: 3140QB6A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        90781 | PA      | $88023.93       | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/34 1.75                                 | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    539942144 | PA      | $542688170.96   | 0.27%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1          | CUSIP: 07386UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2021470 | PA      | $1947388.60     | 0.00%             | 2046-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6829 FN 03/46 FIXED 3.5                        | CUSIP: 3138WGST2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13708 | PA      | $12832.07       | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX3008 FN 10/44 FIXED 4                          | CUSIP: 3138Y4KW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2500 | PA      | $2410.54        | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3847 FN 04/48 FIXED 3.5                        | CUSIP: 3140HHHZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       335898 | PA      | $310895.67      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF4 LLC                                                               | PRP ADVISORS, LLC PRPM 2025 RCF4 A1 144A                   | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15788141 | PA      | $15640667.31    | 0.01%             | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885667 FN 10/36 FIXED 6.5                        | CUSIP: 31410C6C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          533 | PA      | $557.08         | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3088 FN 08/47 FIXED 4                          | CUSIP: 31418CNE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15869676 | PA      | $15266124.00    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL7                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL7 A1 144A      | CUSIP: 74136TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52800349 | PA      | $52894845.94    | 0.03%             | 2054-10-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR4                                                          | BCAP LLC TRUST BCAP 2010 RR4 5A14 144A                     | CUSIP: 05532YAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6943829 | PA      | $4839762.34     | 0.00%             | 2037-05-26      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI8203 FR 06/54 FIXED 6.5                | CUSIP: 3133WFDG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2999702 | PA      | $3118449.79     | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                          | SCLP 2025 C B 144A SCLP 2025 C B 144A                      | CUSIP: 990AAWLV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17045000 | PA      | $16988449.97    | 0.01%             | 2034-09-06      | Fixed         | 4.54%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7845 FN 02/47 FIXED 4.5                        | CUSIP: 3140FTWF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42516 | PA      | $42019.84       | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A1             | CUSIP: 59020USH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59351 | PA      | $53537.83       | 0.00%             | 2035-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                                     | BAYOU RE LTD UNSECURED 144A 04/31 VAR                      | CUSIP: 07304LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      5800000 | PA      | $6210060.00     | 0.00%             | 2031-04-30      | Floating      | 12.30%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.85000 01/08/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $853350.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.01000 01/07/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1366701.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-1A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 1A B2 144A         | CUSIP: 64829JAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9362977 | PA      | $9224701.72     | 0.00%             | 2057-02-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A F 144A                                | CUSIP: ACI2J9647<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9124000 | PA      | $12329723.62    | 0.01%             | 2050-11-28      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM38 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $292758.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9973 FN 07/47 FIXED 4                          | CUSIP: 3138WLCK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141036 | PA      | $135700.84      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                           | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A          | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1900000 | PA      | $1887874.39     | 0.00%             | 2038-05-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR5                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR5 2A1           | CUSIP: 45669EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2951133 | PA      | $2372010.40     | 0.00%             | 2037-05-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-2CON                                               | BANKERS HEALTHCARE GROUP SECUR BHG 2025 2CON A 144A        | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45800492 | PA      | $46196634.61    | 0.02%             | 2036-09-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CH1                                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH1 M6           | CUSIP: 46629TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3200000 | PA      | $3017150.08     | 0.00%             | 2036-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST 2020-SFR2                                            | TRICON AMERICAN HOMES TAH 2020 SFR2 A 144A                 | CUSIP: 89613JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15740961 | PA      | $14887503.71    | 0.01%             | 2039-11-17      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-7921.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI1607 FN 10/41 FIXED 4.5                        | CUSIP: 3138AEYD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19995 | PA      | $19738.04       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 1A1            | CUSIP: 863579JD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       497305 | PA      | $489357.55      | 0.00%             | 2035-01-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUT+5.89/-0.0200 3/20/21-8Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $62268279.11    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR               | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    113562988 | PA      | $64049525.23    | 0.03%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22902.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 949191 FN 08/37 FIXED 6.5                        | CUSIP: 31413L7C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1962 | PA      | $2043.60        | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 5A1           | CUSIP: 86360QAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5048112 | PA      | $4128989.99     | 0.00%             | 2036-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-2                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 2 3A4               | CUSIP: 126384AQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6115168 | PA      | $2838658.71     | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.15500 10/02/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6169050.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P1 A4 144A       | CUSIP: 14688NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23200000 | PA      | $23636456.96    | 0.01%             | 2030-03-11      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-RPL1                         | MSRM 2025 RPL1 PT 144A                                     | CUSIP: 990AAXQQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263774810 | PA      | $238420316.29   | 0.12%             | 2075-11-01      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH0807 FN 05/47 FIXED 4                          | CUSIP: 3140GN3R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17507 | PA      | $16776.16       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ2                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ2 M4                | CUSIP: 70069FHX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22971000 | PA      | $21825427.04    | 0.01%             | 2035-05-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD1353 FN 01/40 FIXED 4.5                        | CUSIP: 31418NQF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4051 | PA      | $4059.19        | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/37 6.9               | CUSIP: P87324BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    139094000 | PA      | $41917087.89    | 0.02%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| PANTHEON SENIOR DEBT SECONDARIES III                                             | PANTHEON SNR DBT SCNDRS IIIUSD TERM LOAN                   | CUSIP: BA000HYC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     60600000 | PA      | $60607217.46    | 0.03%             | 2026-03-26      | Floating      | 6.38%                 | Yes           |                  3 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-C                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 C 2AV4            | CUSIP: 63860KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       224252 | PA      | $220013.88      | 0.00%             | 2037-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MAN EURO CLO 2023-1 DAC 23-1A                                                    | MAN EURO CLO MECLO 2023 1A A 144A                          | CUSIP: ACI2KHWL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     86900000 | PA      | $102178040.09   | 0.05%             | 2036-10-15      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-4                                              | SAXON ASSET SECURITIES TRUST SAST 2005 4 M2                | CUSIP: 805564TK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7794763 | PA      | $7572575.70     | 0.00%             | 2037-11-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-26                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 26 2A1                    | CUSIP: 126694MY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1864078 | PA      | $414469.87      | 0.00%             | 2035-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M6             | CUSIP: 126673YP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1019248 | PA      | $1003280.28     | 0.00%             | 2035-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A2          | CUSIP: 23243AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6918990 | PA      | $6650159.91     | 0.00%             | 2046-09-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-9                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 9 4A2            | CUSIP: 41161PJF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1979344 | PA      | $1696463.01     | 0.00%             | 2034-12-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.70000 03/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $1795603.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3218                                                                 | FREDDIE MAC FHR 3218 SA                                    | CUSIP: 31397BJY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       537680 | PA      | $56376.59       | 0.00%             | 2036-09-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 RF1 A 144A        | CUSIP: 86359DBW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1890435 | PA      | $1708465.95     | 0.00%             | 2035-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES1 A1A 144A        | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9251856 | PA      | $9352535.14     | 0.00%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 2AB3                 | CUSIP: 1266944B1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1032170 | PA      | $938854.66      | 0.00%             | 2036-05-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 B4 144A      | CUSIP: 36263MCG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2109028 | PA      | $1822561.69     | 0.00%             | 2052-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 3A1             | CUSIP: 576433GF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5144 | PA      | $5105.13        | 0.00%             | 2033-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.03000 10/04/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $5793299.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                                     | SBNA AUTO LEASE TRUST SBALT 2024 B A2 144A                 | CUSIP: 78437VAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1173649 | PA      | $1174656.21     | 0.00%             | 2026-11-20      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL3                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL3 SA 144A        | CUSIP: 12596RAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22196 | PA      | $21944.05       | 0.00%             | 2054-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG9296 FR 08/53 FIXED 6                  | CUSIP: 3133CAKH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7280700 | PA      | $7472901.62     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2023-A                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2023 A SA 144A         | CUSIP: 17295GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       323856 | PA      | $320059.14      | 0.00%             | 2063-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2021-43A                               | NEUBERGER BERMAN CLO LTD NEUB 2021 43A AR 144A             | CUSIP: 64134AAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     62500000 | PA      | $62569383.13    | 0.03%             | 2036-07-17      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-6                                                              | IMPAC CMB TRUST IMM 2005 6 1A2                             | CUSIP: 45254NQW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3595558 | PA      | $3327031.85     | 0.00%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW MORTGAGE TRUST 2025-INV1                                               | BAYVIEW OPPORTUNITY MASTER FUN BVINV 2025 1 AF1 144A       | CUSIP: 67551WAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16466379 | PA      | $16492386.19    | 0.01%             | 2054-11-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8145 FN 10/46 FIXED 4                          | CUSIP: 3138WJBP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17234 | PA      | $16578.36       | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2023-RP1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2023 RP1 PT 144A       | CUSIP: 173118AS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1071942589 | PA      | $874765074.27   | 0.43%             | 2062-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU0049 FN 09/51 FIXED 2.5                        | CUSIP: 3140M1BT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5268154 | PA      | $4485249.45     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1074 FN 05/32 FIXED 4                          | CUSIP: 31418AFQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38634 | PA      | $38439.62       | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3952 FN 02/29 FIXED VAR                        | CUSIP: 3140J8MA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       129235 | PA      | $127416.50      | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005054 G2 05/41 FIXED 4                       | CUSIP: 36202FTK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4630 | PA      | $4484.17        | 0.00%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2023-5                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2023 5 C 144A          | CUSIP: 69546PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1520024 | PA      | $1526179.10     | 0.00%             | 2031-04-15      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4785 FN 02/47 FIXED 3.5                        | CUSIP: 3140FQJ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       661125 | PA      | $616455.90      | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M3                                                    | ARGENT SECURITIES INC. ARSI 2006 M3 A1                     | CUSIP: 03076MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3086528 | PA      | $1705815.95     | 0.00%             | 2036-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J7                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J7 1A4           | CUSIP: 23244FAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4364474 | PA      | $1999581.61     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 4.75000 06/19/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |            1 | NC      | $42994888.58    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX3167 FN 10/44 FIXED 4.5                        | CUSIP: 3138Y4QV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36408 | PA      | $36156.21       | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251125                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $405.63         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6041 FR 07/53 FIXED 6                  | CUSIP: 3133C6WA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       237597 | PA      | $245142.02      | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A2            | CUSIP: 939336Z48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        54935 | PA      | $54850.19       | 0.00%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2006-AA1                                                          | BCAP LLC TRUST BCAP 2006 AA1 A1                            | CUSIP: 055294AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       984088 | PA      | $1020371.93     | 0.00%             | 2036-10-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                    | RMAC SECURITIES PLC RMACS 2007 NS1X A2C REGS               | CUSIP: B231LHII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       991168 | PA      | $1139739.60     | 0.00%             | 2044-06-12      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1            | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3452584 | PA      | $2447262.05     | 0.00%             | 2036-01-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 489342 GN 01/29 FIXED 6.49                       | CUSIP: 36210DS77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4055 | PA      | $4093.67        | 0.00%             | 2029-01-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0696 FN 11/47 FIXED 4                          | CUSIP: 3140Q7X28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126897 | PA      | $122043.83      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08622 FG 01/45 FIXED 3                  | CUSIP: 3128MJVQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11939 | PA      | $10882.35       | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-3                             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 3 A3             | CUSIP: 10805NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11870447 | PA      | $11897073.54    | 0.01%             | 2028-04-17      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 1A AR 144A       | CUSIP: ACI2W0KY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     57782793 | PA      | $67766964.41    | 0.03%             | 2033-08-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5669 FN 01/53 FIXED 5.5                        | CUSIP: 3140NAJP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25573 | PA      | $25836.75       | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-2 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 2A A1R 144A        | CUSIP: 05684RAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     39400000 | PA      | $39451928.02    | 0.02%             | 2034-07-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG44 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $76739801.42    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-813.73        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-SHL1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 A 144A       | CUSIP: 17312WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7052049 | PA      | $6962000.05     | 0.00%             | 2046-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-2                                                         | FANNIE MAE FNR 2013 2 CI                                   | CUSIP: 3136AB4U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       686082 | PA      | $68089.55       | 0.00%             | 2042-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                      | SES S A COMMON STOCK                                       | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |      7981591 | NS      | $94986927.07    | 0.05%             |  |  |  | No            |                  3 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 6A1                   | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       472034 | PA      | $350560.04      | 0.00%             | 2035-05-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECS XVII LTD                                                     | PREFERRED TERM SECS XVII SECURED 144A 06/35 VAR            | CUSIP: 74042EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      7804466 | PA      | $7453264.72     | 0.00%             | 2035-06-23      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $397910.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-C                                                        | CENTEX HOME EQUITY CXHE 2004 C M3                          | CUSIP: 152314KT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       309741 | PA      | $302696.56      | 0.00%             | 2034-06-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH6373 G2 06/48 FIXED 4                       | CUSIP: 3617H4CJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1427173 | PA      | $1352072.02     | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG45 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $24198812.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4792 FR 09/48 FIXED 5                  | CUSIP: 3132A5KD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1049477 | PA      | $1061353.85     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-193510.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5991 FN 01/53 FIXED 5.5                        | CUSIP: 3140QRUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6513623 | PA      | $6597107.79     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2005                                         | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 8 A6             | CUSIP: 05949CGT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62303 | PA      | $55369.60       | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARV 144A       | CUSIP: 033296AG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     54344161 | PA      | $53789535.78    | 0.03%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2              | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     65400000 | PA      | $64864999.88    | 0.03%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0902 FN 01/48 FIXED 4.5                        | CUSIP: 3140H2AC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45672 | PA      | $44715.64       | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2022-I LTD                                                          | CIFC FUNDING LTD CIFC 2022 1A A 144A                       | CUSIP: 12570LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13000000 | PA      | $13018200.00    | 0.01%             | 2035-04-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FK             | CUSIP: 38376RRL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8612478 | PA      | $8657476.69     | 0.00%             | 2066-03-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | REPUBLIC OF COLOMBIA SR UNSECURED 09/28 3.75               | CUSIP: ACI309MY1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     61900000 | PA      | $72602515.76    | 0.04%             | 2028-09-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4570 FN 03/45 FIXED 3.5                        | CUSIP: 3138WECG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7162 | PA      | $6741.86        | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 A 144A         | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14036434 | PA      | $14110371.91    | 0.01%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1277 FN 05/47 FIXED VAR                        | CUSIP: 3140J5M30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15710 | PA      | $15112.45       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 11 2A1A          | CUSIP: 41161PUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       175008 | PA      | $166554.95      | 0.00%             | 2045-08-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251001                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $262672.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7436 FN 10/46 FIXED 3.5                        | CUSIP: 3140FFHN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19218 | PA      | $17976.10       | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                            | CONSECO FINANCE SECURITIZATION CNF 2000 5 A7               | CUSIP: 20846QER5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29476990 | PA      | $5809325.25     | 0.00%             | 2031-05-01      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| KKR CLO 28 LTD 28A                                                               | KKR FINANCIAL CLO LTD KKR 28A AR 144A                      | CUSIP: 48253WAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     92500000 | PA      | $92850941.30    | 0.05%             | 2035-02-09      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1957 FN 11/47 FIXED VAR                        | CUSIP: 3140J6E78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47594 | PA      | $44290.36       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                                       | EQTYWM927 WESTMORELAND MINING                              | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       452949 | NS      | $509567.83      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2001 FN 10/45 FIXED 4.5                        | CUSIP: 3140E6GK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17576 | PA      | $17364.44       | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3362 FN 03/33 FIXED 3                          | CUSIP: 3140HGWY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21215 | PA      | $20662.64       | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-5031659.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY0201 FN 01/45 FIXED 4                          | CUSIP: 3138YDGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4926 | PA      | $4694.59        | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8760 FN 02/42 FIXED 4                          | CUSIP: 3138ANWW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59888 | PA      | $58341.16       | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SLU                                              | NEPTUNE QUASAR PPN                                         | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |            1 | PA      | $0.00           | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2024-1A                                               | BOFA AUTO TRUST BAAT 2024 1A A2 144A                       | CUSIP: 09709AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1357869 | PA      | $1358661.02     | 0.00%             | 2026-12-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                          | COUNTRY GARDEN HLDGS SR SECURED REGS 08/30 4.8             | CUSIP: ACI1PP9T8<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |      2100000 | PA      | $225750.00      | 0.00%             | 2030-08-06      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 21 A8                     | CUSIP: 12543PAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       185750 | PA      | $77328.01       | 0.00%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO1 3A1           | CUSIP: 761118RM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4012560 | PA      | $1537141.19     | 0.00%             | 2046-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829332 FN 09/35 FLOATING VAR                     | CUSIP: 31407FLM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1767 | PA      | $1804.45        | 0.00%             | 2035-09-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8556 FN 03/48 FIXED 4                          | CUSIP: 3140HAQJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4682 | PA      | $4535.56        | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY 144A 03/29 VAR                     | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     56000000 | PA      | $55979921.20    | 0.03%             | 2029-03-08      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3773 FN 09/39 FIXED 4                          | CUSIP: 31418DFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       190596 | PA      | $187322.92      | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2005-2                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 2 A1              | CUSIP: 863579KG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       553425 | PA      | $557606.16      | 0.00%             | 2035-02-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR6                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR6 2A1A          | CUSIP: 456612AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10712669 | PA      | $9603519.73     | 0.00%             | 2046-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE4                                                             | GSAMP TRUST GSAMP 2005 HE4 M4                              | CUSIP: 362341KF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6976000 | PA      | $6537866.74     | 0.00%             | 2045-07-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5594 FN 10/47 FIXED VAR                        | CUSIP: 3140JAGC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       978454 | PA      | $944250.84      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                             | COLLEGE AVE STUDENT LOANS CASL 2023 B B 144A               | CUSIP: 19425MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19496139 | PA      | $20390750.36    | 0.01%             | 2054-06-25      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2023-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2023 1 A2 144A              | CUSIP: 89181JAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8504105 | PA      | $7592554.24     | 0.00%             | 2063-01-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A6                 | CUSIP: 46630GAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       113400 | PA      | $111932.22      | 0.00%             | 2035-07-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| KENTMERE PLC 3A                                                                  | KENTMERE KMR 3A Z 144A                                     | CUSIP: ACI2RTRM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10373000 | PA      | $11574554.87    | 0.01%             | 2051-01-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXVI LTD 2019-36A                                          | MADISON PARK FUNDING LTD MDPK 2019 36A A1RR 144A           | CUSIP: 55819PBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2007655.86     | 0.00%             | 2035-04-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 3A A3 144A       | CUSIP: 78436XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41300000 | PA      | $41556720.80    | 0.02%             | 2030-06-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM3 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2022 NQM3 A1A 144A            | CUSIP: 67116KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4657200 | PA      | $4532366.02     | 0.00%             | 2062-01-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A5                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A5 1A2                 | CUSIP: 466247SE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1436 | PA      | $1394.90        | 0.00%             | 2035-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 4A2             | CUSIP: 00703QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4775272 | PA      | $1614870.49     | 0.00%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3035 G2 08/45 FIXED 4                       | CUSIP: 36179RLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5676756 | PA      | $5441339.42     | 0.00%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO X DAC 10A                                                     | HAYFIN EMERALD CLO HAYEM 10A AR                            | CUSIP: ACI2PCMS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     69000000 | PA      | $81009495.72    | 0.04%             | 2038-07-18      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1939 FN 12/25 FIXED 3.5                        | CUSIP: 31416XEM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          118 | PA      | $117.95         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0476 FR 09/53 FIXED 6.5                | CUSIP: 3133CCQ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2138885 | PA      | $2218710.85     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A4                     | CUSIP: 12544RAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16443 | PA      | $6432.94        | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870634 FN 07/36 FIXED 6.5                        | CUSIP: 31409GHK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          131 | PA      | $137.44         | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7778 FN 03/53 FIXED 5.5                        | CUSIP: 3140NCUC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1337127 | PA      | $1358257.59     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-C                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 C 1A4             | CUSIP: 059522AW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16252 | PA      | $14179.33       | 0.00%             | 2036-05-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A            | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37266 | PA      | $36335.35       | 0.00%             | 2042-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA8                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA8 CB21          | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2213377 | PA      | $1124030.74     | 0.00%             | 2035-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7626 FN 08/47 FIXED 4                          | CUSIP: 3140GWPL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       754584 | PA      | $718846.01      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                                  | ARGENT SECURITIES INC. ARSI 2006 W5 A2C                    | CUSIP: 04012XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31449331 | PA      | $8575801.65     | 0.00%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08773 FG 08/47 FIXED 3                  | CUSIP: 3128MJ2F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       794505 | PA      | $719355.56      | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1A 144A          | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15466293 | PA      | $14345251.66    | 0.01%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                                             | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A M3 144A       | CUSIP: 07325QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       950315 | PA      | $963203.64      | 0.00%             | 2037-03-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-5                                                           | LEHMAN XS TRUST LXS 2006 5 2A3                             | CUSIP: 525221JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6197831 | PA      | $6134888.54     | 0.00%             | 2036-04-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3590 FN 02/39 FIXED 4                          | CUSIP: 31418C7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       376103 | PA      | $370090.09      | 0.00%             | 2039-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-SP1                                                             | RAAC SERIES RAAC 2006 SP1 M1                               | CUSIP: 76112B3F5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       938701 | PA      | $928468.23      | 0.00%             | 2045-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN1981 FR 12/48 FIXED 5                  | CUSIP: 3131Y8FW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1555801 | PA      | $1573087.47     | 0.00%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXV LTD                                                    | MADISON PARK FUNDING LTD MDPK 2019 35A A1R 144A            | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       925462 | PA      | $927307.38      | 0.00%             | 2032-04-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q53034 FG 12/47 FIXED 3.5                | CUSIP: 3132XVLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141480 | PA      | $132083.36      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/33 1.125                                | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    263738240 | PA      | $255705237.39   | 0.13%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7802 FN 08/46 FIXED 3.5                        | CUSIP: 3138WHU42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59375 | PA      | $55606.50       | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2003-7                                                    | SLM STUDENT LOAN TR 03 7 ASSET BACKED 144A 12/33 VAR       | CUSIP: 291900II1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       428011 | PA      | $475190.18      | 0.00%             | 2033-12-15      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7027 FN 04/46 FIXED 4                          | CUSIP: 3138WGYZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9973432 | PA      | $9597314.95     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 3A1           | CUSIP: 25151XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       389767 | PA      | $338479.50      | 0.00%             | 2047-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 3A1          | CUSIP: 07387VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6792711 | PA      | $6589821.80     | 0.00%             | 2037-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1336 FN 04/53 FIXED 5                          | CUSIP: 3140H2PW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       972569 | PA      | $969105.18      | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q35743 FG 08/45 FIXED 3                  | CUSIP: 3132QSLZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25965 | PA      | $23558.07       | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-91378.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A3          | CUSIP: 12668AUS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1538294 | PA      | $607936.23      | 0.00%             | 2035-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2894 FN 09/45 FIXED 4                          | CUSIP: 3138YUGC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4367017 | PA      | $4205937.82     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A Y 144A             | CUSIP: ACI2DKH38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          950 | PA      | $22909559.55    | 0.01%             | 2053-03-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2015-8R                                            | NOMURA RESECURITIZATION TRUST NMRR 2015 8R 1A2 144A        | CUSIP: 65541AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5964037 | PA      | $3376436.89     | 0.00%             | 2036-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA7139 FN 01/46 FIXED 3                          | CUSIP: 3140EB4Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36380 | PA      | $32899.99       | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.77000 02/14/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-14458651.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0852 FN 11/47 FIXED 4.5                        | CUSIP: 3140H15N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156697 | PA      | $155160.08      | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                              | SAXON ASSET SECURITIES TRUST SAST 2007 3 2A4               | CUSIP: 80557BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4148000 | PA      | $3557722.18     | 0.00%             | 2047-09-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-B TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 B B               | CUSIP: 83407KAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26600000 | PA      | $26857960.42    | 0.01%             | 2034-06-15      | Fixed         | 4.97%                 | No            |                  3 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-2                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 2 2A2A                 | CUSIP: 07386HQX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       245330 | PA      | $202190.83      | 0.00%             | 2035-04-25      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0218 FN 08/40 FIXED VAR                        | CUSIP: 31419AG43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2451 | PA      | $2459.38        | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2384 FR 02/53 FIXED 6.5                | CUSIP: 3132DPUH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       193640 | PA      | $201848.45      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2006-3                                   | AMERICAN HOME MORTGAGE INVESTM AHM 2006 3 12A1             | CUSIP: 026929AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1640865 | PA      | $1583481.73     | 0.00%             | 2046-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1770 FN 11/25 FIXED 3                          | CUSIP: 31416W6G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          286 | PA      | $284.58         | 0.00%             | 2025-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8434 FN 04/47 FIXED 4                          | CUSIP: 3140FULQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84754 | PA      | $80745.22       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008788 G2 01/26 FLOATING VAR                  | CUSIP: 36202KXR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           16 | PA      | $15.79          | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-2                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2006 2 M2              | CUSIP: 9497EAAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1796997 | PA      | $1794072.06     | 0.00%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2388                                                                 | FREDDIE MAC FHR 2388 EZ                                    | CUSIP: 31339M2H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5206 | PA      | $5586.87        | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90750 03/04/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2376342.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                                  | AVON FINANCE AVON 4A D 144A                                | CUSIP: ACI2JTNR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      8841000 | PA      | $11952961.85    | 0.01%             | 2049-12-28      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A90                | CUSIP: 46631NDT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       763482 | PA      | $372150.39      | 0.00%             | 2037-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-45141.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6784 FN 08/53 FIXED 6                          | CUSIP: 3140NPRE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       737814 | PA      | $755113.17      | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG39 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $72316.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 1A1 144A       | CUSIP: 17307GY36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1444349 | PA      | $1430144.01     | 0.00%             | 2035-08-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75          | CUSIP: ACI2ZHVB7<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     14677404 | PA      | $22104983.70    | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF7                                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF7 M4             | CUSIP: 32027NUP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3962851 | PA      | $3954042.41     | 0.00%             | 2035-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD5164 FN 12/46 FIXED 4                          | CUSIP: 3140FCW20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       165689 | PA      | $159361.15      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8010 FN 08/26 FIXED 3.5                        | CUSIP: 3138AM3U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16349 | PA      | $16252.42       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB2 4A1                  | CUSIP: 126694D70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       190467 | PA      | $164475.46      | 0.00%             | 2036-04-20      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-3                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 3 A1A 144A             | CUSIP: 89183FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39209631 | PA      | $39677417.33    | 0.02%             | 2065-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2006-EFC2                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 EFC2 M1           | CUSIP: 749238AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000000 | PA      | $14249776.50    | 0.01%             | 2036-12-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL4                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL4 PT 144A        | CUSIP: 12653MAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206696940 | PA      | $192199713.10   | 0.09%             | 2058-04-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $132116.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX0836 FN 01/53 FIXED 5.5                        | CUSIP: 3140N44W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       662138 | PA      | $670636.70      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A3              | CUSIP: 617463AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1451686 | PA      | $466887.17      | 0.00%             | 2036-11-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                                   | ARGENT SECURITIES INC. ARSI 2004 W11 M6                    | CUSIP: 040104ML2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2189306 | PA      | $1891265.66     | 0.00%             | 2034-11-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                                | EXETER SELECT AUTOMOBILE RECEI ESART 2025 2 A2             | CUSIP: 30185EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13100000 | PA      | $13164930.15    | 0.01%             | 2029-06-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6846 FN 03/46 FIXED 4                          | CUSIP: 3138WGTC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       136452 | PA      | $131333.80      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 638023 FN 04/32 FIXED 6.5                        | CUSIP: 31389WYU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1605 | PA      | $1656.95        | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8455 FR 08/54 FIXED 6.5                | CUSIP: 3132DWMC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    169983051 | PA      | $175810071.69   | 0.09%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA5422 FN 03/50 FIXED 3                          | CUSIP: 3140QDAY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81198499 | PA      | $72573490.64    | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3990 FN 03/48 FIXED VAR                        | CUSIP: 3140J8NG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25535 | PA      | $24544.29       | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7803 FN 09/46 FIXED 4                          | CUSIP: 3140FFU58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50177 | PA      | $48281.81       | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP DUB                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1753685.16    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A5                                               | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A5 2A2            | CUSIP: 76114HAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6401438 | PA      | $3199251.75     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3798 FN 10/34 FIXED 3                          | CUSIP: 31418DGG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120631 | PA      | $116968.50      | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1483 FR 10/48 FIXED 4                  | CUSIP: 3132ADUG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       251588 | PA      | $241033.37      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HOLDING SA SR SECURED 144A 06/30 7.5               | CUSIP: 262051AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |      2950528 | PA      | $2890194.42     | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1135 FN 04/32 FIXED VAR                        | CUSIP: 3140X4HM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       846840 | PA      | $834677.64      | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                                  | PFP III PFP 2024 11 A 144A                                 | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     58912308 | PA      | $59046115.60    | 0.03%             | 2039-09-17      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5764 G2 02/49 FIXED 4.5                     | CUSIP: 36179UMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     61122842 | PA      | $60572114.59    | 0.03%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SHAMROCK RESIDENTIAL 2023-1 DAC 23-1X                                            | SHAMROCK RESIDENTIAL SROCK 2023 1X A REGS                  | CUSIP: ACI2D6581<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     14240533 | PA      | $16725794.30    | 0.01%             | 2071-06-24      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2024-1A                                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2024 1A A2A 144A      | CUSIP: 73328AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12768849 | PA      | $12788933.97    | 0.01%             | 2027-01-20      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM1                                                     | ACE SECURITIES CORP. ACE 2004 FM1 M1                       | CUSIP: 004421DK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1005731 | PA      | $1003770.75     | 0.00%             | 2033-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 65CB 1A5         | CUSIP: 12668AX75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3182788 | PA      | $1924343.29     | 0.00%             | 2036-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-J7                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J7 M1            | CUSIP: 12667FTE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2845837 | PA      | $2837115.39     | 0.00%             | 2034-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7004 FR 11/54 FIXED 7                  | CUSIP: 3132DUX93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       508436 | PA      | $532068.30      | 0.00%             | 2054-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-42                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 42 I               | CUSIP: 38378JJZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       244354 | PA      | $39223.02       | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A4 144A        | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15719502 | PA      | $15940742.88    | 0.01%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5365 FN 07/45 FIXED 3.5                        | CUSIP: 3138WE6B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8750 | PA      | $8230.83        | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    561686224 | PA      | $573899484.32   | 0.28%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A14         | CUSIP: 02147QAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1099281 | PA      | $618717.03      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE2                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE2 M4            | CUSIP: 04542BNM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11953779 | PA      | $11354752.56    | 0.01%             | 2035-06-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL5                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL5 PT 144A      | CUSIP: 362951AR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181657913 | PA      | $156819608.49   | 0.08%             | 2064-07-25      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| TRALEE CLO V LTD 2018-5A                                                         | TRALEE CLO LTD TRAL 2018 5A A1RR 144A                      | CUSIP: 89300JBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     56500000 | PA      | $56566450.78    | 0.03%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV8202 FN 04/37 FIXED 3                          | CUSIP: 3140MNDG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       244814 | PA      | $234992.24      | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A8                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A8 A1             | CUSIP: 17313MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1334185 | PA      | $1238630.77     | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-0.01          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $41133.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                                | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 11/26 6         | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     54167000 | PA      | $8829221.00     | 0.00%             | 2026-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260302                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-310985.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-HHV                                                        | HILTON USA TRUST HILT 2016 HHV XA 144A                     | CUSIP: 43300LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118960000 | PA      | $349676.97      | 0.00%             | 2038-11-05      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B A1A 144A         | CUSIP: 78449HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221460621 | PA      | $223259013.94   | 0.11%             | 2056-10-16      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54557 FG 03/48 FIXED 3.5                | CUSIP: 3132XXB32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       124111 | PA      | $115618.95      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2256 FN 02/26 FIXED 3.5                        | CUSIP: 31416XQJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7587 | PA      | $7556.36        | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVII LTD                                                        | SOUND POINT CLO LTD SNDPT 2020 2A AR 144A                  | CUSIP: 83611VAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     15700000 | PA      | $15735325.00    | 0.01%             | 2034-10-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2097 FN 04/43 FIXED 4                          | CUSIP: 3138WPKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       378492 | PA      | $367877.47      | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3213                                                          | FREDDIE MAC FHR 3213 HS                                    | CUSIP: 31397AZ71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       927943 | PA      | $76406.73       | 0.00%             | 2036-09-15      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-A                                                        | CENTEX HOME EQUITY CXHE 2005 A M4                          | CUSIP: 152314ML1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1290785 | PA      | $1249254.75     | 0.00%             | 2035-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q45088 FG 12/46 FIXED 3                  | CUSIP: 3132WJUN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       282297 | PA      | $255601.98      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260528                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $21215.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8733 FN 06/44 FIXED 4.5                        | CUSIP: 3138XYV35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4912 | PA      | $4859.63        | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A5           | CUSIP: 46628SAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6800671 | PA      | $1797335.19     | 0.00%             | 2036-07-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                                     | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A                  | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    137400000 | PA      | $138071407.85   | 0.07%             | 2037-04-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                                    | GSAA HOME EQUITY TRUST GSAA 2007 5 2A2A                    | CUSIP: 3622ECAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3237847 | PA      | $1405480.69     | 0.00%             | 2047-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A2                     | CUSIP: 12544RAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        67180 | PA      | $26283.17       | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN3797 FR 03/39 FIXED 3.5                | CUSIP: 3131YAGE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1350132 | PA      | $1300083.31     | 0.00%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK6782 FN 03/27 FIXED 3                          | CUSIP: 3138EBRC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43345 | PA      | $42956.32       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1                | CUSIP: 61750SAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12900561 | PA      | $11530810.19    | 0.01%             | 2036-10-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A15         | CUSIP: 12668ABM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       836727 | PA      | $536417.07      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A             | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161968589 | PA      | $163202238.49   | 0.08%             | 2064-10-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 7A1             | CUSIP: 576433GN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13176 | PA      | $13087.36       | 0.00%             | 2033-12-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A2             | CUSIP: 74958YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       432294 | PA      | $333538.36      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-WF1                                               | HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A3                 | CUSIP: 40431KAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11899939 | PA      | $3676437.50     | 0.00%             | 2036-12-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.04072 08/02/23-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-15505707.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $10172414.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.25 11/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-25021622.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 2A2A           | CUSIP: 17313QAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1217476 | PA      | $1056165.54     | 0.00%             | 2037-09-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2432 FN 01/47 FIXED 4                          | CUSIP: 3140F9V28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17582300 | PA      | $16913626.26    | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3612 FN 02/47 FIXED VAR                        | CUSIP: 3140J8AN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48763 | PA      | $46948.81       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6574 FN 08/47 FIXED 4                          | CUSIP: 3140GVJU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45924 | PA      | $44191.59       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0864 FN 01/55 FIXED 7                          | CUSIP: 3140B06A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       973471 | PA      | $1023266.58     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP2 SA 144A       | CUSIP: 17330JAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       562453 | PA      | $529108.86      | 0.00%             | 2062-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-B                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 B A1                 | CUSIP: 589929K56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1831 | PA      | $1636.75        | 0.00%             | 2028-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M2             | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7962208 | PA      | $7710073.20     | 0.00%             | 2035-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD1284 FN 07/46 FIXED 3.5                        | CUSIP: 3140F8NA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       346804 | PA      | $330534.26      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-ASAP6                     | ACE SECURITIES CORP. ACE 2006 ASP6 A2D                     | CUSIP: 00443KAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7680357 | PA      | $2431534.83     | 0.00%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR5                                              | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR5 2A1          | CUSIP: 94983RAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       532592 | PA      | $529227.01      | 0.00%             | 2036-04-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM1 TRUST                                                             | PRP ADVISORS, LLC PRPM 2024 NQM1 A1 144A                   | CUSIP: 693977AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7965530 | PA      | $8059924.63     | 0.00%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TR 2005-1                                                   | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 1 M5             | CUSIP: 542514KD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8444557 | PA      | $7761514.40     | 0.00%             | 2035-02-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-2                                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 2 A1                      | CUSIP: 81743PAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30360 | PA      | $30268.11       | 0.00%             | 2033-06-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 X 144A        | CUSIP: 17329NAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1705306021 | PA      | $50251957.83    | 0.02%             | 2065-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC10 1A          | CUSIP: 23245FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6640706 | PA      | $6618783.42     | 0.00%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $3194163.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL7 SA 144A      | CUSIP: 36273CAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        93311 | PA      | $91693.45       | 0.00%             | 2064-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A4                | CUSIP: 61755CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15211274 | PA      | $13845152.71    | 0.01%             | 2037-05-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 468302 GN 01/28 FIXED 6.49                       | CUSIP: 36209DGK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22385 | PA      | $22754.45       | 0.00%             | 2028-01-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A2            | CUSIP: 14689MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20298220 | PA      | $20319442.19    | 0.01%             | 2028-06-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9323 FN 09/47 FIXED 4                          | CUSIP: 3140GYLD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4864344 | PA      | $4683840.14     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88000 01/13/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3534758.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR2                                            | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR2 3A1           | CUSIP: 45661SAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2343481 | PA      | $1779431.03     | 0.00%             | 2036-09-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5932 FN 01/54 FIXED 6.5                        | CUSIP: 3140A6SW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1399049 | PA      | $1453872.94     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 603505 FN 07/31 FIXED 6.5                        | CUSIP: 31388FNW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          492 | PA      | $510.58         | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                              | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M4                | CUSIP: 70069FCY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3212639 | PA      | $3176990.90     | 0.00%             | 2034-12-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8222 FR 02/53 FIXED 6.5                | CUSIP: 3133BWD34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       224040 | PA      | $233758.40      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2270 FN 04/46 FIXED 4.5                        | CUSIP: 3140EWQY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57257 | PA      | $56832.81       | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EDUCATION FUNDING TRUST 2018-A-GS TRUST                                          | EDUCATION FUNDING TRUST EFT 2018 AGS E 144A                | CUSIP: 28140WAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45704803 | PA      | $39915366.46    | 0.02%             | 2050-02-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S DANSKE BANK A/S                            | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     18500000 | PA      | $18821366.28    | 0.01%             | 2028-03-01      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB9091 FR 02/51 FIXED 2.5                | CUSIP: 3133AGC49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7854430 | PA      | $6669733.58     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 3A1          | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41741 | PA      | $36607.77       | 0.00%             | 2035-11-19      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2281 FN 05/45 FIXED 4.5                        | CUSIP: 31418BRB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38194 | PA      | $37930.04       | 0.00%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/1.3000 06/16/22-25Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $31671102.87    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-3                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2005 3 M7              | CUSIP: 9497ENAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201080 | PA      | $201121.53      | 0.00%             | 2035-11-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2016-43A                                                 | DRYDEN SENIOR LOAN FUND DRSLF 2016 43A AR3 144A            | CUSIP: 26245CBQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2002000.00     | 0.00%             | 2034-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1248 FN 05/53 FIXED 6                          | CUSIP: 3140NHL63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2937151 | PA      | $3018789.25     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX0081 FN 10/52 FIXED 4                          | CUSIP: 3140N4CT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7140123 | PA      | $6747726.18     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-16                                          | COUNTRYWIDE HOME LOANS CWHL 2006 16 2A1                    | CUSIP: 170257AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7587264 | PA      | $2202786.85     | 0.00%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX--0A08AGAA9-20450725                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-408929.14     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5399 G2 08/48 FIXED 4.5                     | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4064587 | PA      | $4023144.30     | 0.00%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-23                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1            | CUSIP: 863579L48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2462369 | PA      | $1329804.09     | 0.00%             | 2036-01-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A10                                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A10 A6            | CUSIP: 76113LAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3261406 | PA      | $970190.62      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-9                                              | RBSSP RESECURITIZATION TRUST RBSSP 2009 9 1A2 144A         | CUSIP: 74928QAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4785604 | PA      | $3260235.59     | 0.00%             | 2036-03-26      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV2                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A         | CUSIP: 92540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19407481 | PA      | $19577482.96    | 0.01%             | 2068-08-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH9325 G2 06/48 FIXED 4                       | CUSIP: 3617H7LE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       616099 | PA      | $582923.08      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2005-J2                        | COUNTRYWIDE HOME LOANS CWHL 2005 J2 3A14                   | CUSIP: 12669GW56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       319912 | PA      | $204104.90      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2006-A                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 A M2             | CUSIP: 73316PJX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1125985 | PA      | $1074809.10     | 0.00%             | 2036-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-26CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 26CB A18         | CUSIP: 02147WAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3881598 | PA      | $1881283.41     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR6 A1            | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       247544 | PA      | $244472.78      | 0.00%             | 2033-06-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $831484.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 617448 FN 01/32 FIXED 6.5                        | CUSIP: 31388W5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1225 | PA      | $1265.26        | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 2A2            | CUSIP: 68403HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5901480 | PA      | $3190206.51     | 0.00%             | 2037-05-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX4                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX4 M4           | CUSIP: 76110W6C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6287489 | PA      | $6217885.84     | 0.00%             | 2035-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE5                                                             | GSAMP TRUST GSAMP 2006 HE5 A2D                             | CUSIP: 362437AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20523636 | PA      | $19383894.95    | 0.01%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BCC-2021-5A                                                                      | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 5A A1R 144A        | CUSIP: 05682EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     22500000 | PA      | $22526848.80    | 0.01%             | 2034-10-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A             | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34114363 | PA      | $34715137.82    | 0.02%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4843 FN 10/52 FIXED 5.5                        | CUSIP: 3140QQLZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       106894 | PA      | $108566.79      | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A F 144A                       | CUSIP: ACI2V59C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     16380000 | PA      | $21950248.60    | 0.01%             | 2056-08-28      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 4A2             | CUSIP: 05950PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       508508 | PA      | $459139.44      | 0.00%             | 2046-09-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $453429.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 A5 144A       | CUSIP: 173114AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163382191 | PA      | $153569701.82   | 0.08%             | 2070-03-01      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-L                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 L 2A1            | CUSIP: 05948XQ95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       378270 | PA      | $377620.41      | 0.00%             | 2034-01-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                      | PALM RE LTD UNSECURED 144A 06/31 VAR                       | CUSIP: 69664FAA6<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |      1700000 | PA      | $1815430.00     | 0.00%             | 2031-06-09      | Floating      | 13.63%                | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AR4                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR4 A1            | CUSIP: 25150PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2909638 | PA      | $999131.11      | 0.00%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A A1 144A        | CUSIP: 210927AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34870286 | PA      | $35025716.32    | 0.02%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0863 FN 01/55 FIXED 7                          | CUSIP: 3140B05Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       759866 | PA      | $809249.72      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60857 FG 02/47 FIXED 4                  | CUSIP: 31335A5S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1301 | PA      | $1252.97        | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A2            | CUSIP: 761118EP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       136444 | PA      | $107155.04      | 0.00%             | 2035-08-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH 2006-4                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 4 3A1            | CUSIP: 939344AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2491000 | PA      | $2202862.68     | 0.00%             | 2036-05-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P4 A4 144A       | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15200000 | PA      | $15783728.64    | 0.01%             | 2029-09-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/26 1.625                                | CUSIP: 912828P46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       420000 | PA      | $416445.31      | 0.00%             | 2026-02-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                          | BCAP LLC TRUST BCAP 2011 RR4 7A1 144A                      | CUSIP: 05533XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1284998 | PA      | $716068.15      | 0.00%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-30                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 30 A5                     | CUSIP: 126694TU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       621001 | PA      | $368403.20      | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A1                 | CUSIP: 46631NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2022061 | PA      | $788700.10      | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-A                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 A M1              | CUSIP: 63860HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1929548 | PA      | $1920151.23     | 0.00%             | 2037-03-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR1 1A1                   | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       133449 | PA      | $127439.79      | 0.00%             | 2035-01-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE2                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE2 A3            | CUSIP: 46602WAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57982214 | PA      | $15850667.52    | 0.01%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 03/27 4.4                  | CUSIP: 292480AK6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      4145000 | PA      | $4160851.31     | 0.00%             | 2027-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF4712 FR 12/52 FIXED 6                  | CUSIP: 3133BSGV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       322913 | PA      | $335535.75      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-4A LLC                                                                 | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2025 4A A1 144A         | CUSIP: 76089MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1250000 | PA      | $1251060.13     | 0.00%             | 2026-07-27      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2007-1                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2007 1 M1              | CUSIP: 00438QAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17059825 | PA      | $16996061.94    | 0.01%             | 2037-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3241 FN 03/50 FIXED VAR                        | CUSIP: 3140X6S77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    247219718 | PA      | $221037261.28   | 0.11%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR8                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR8 A4A           | CUSIP: 456618AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1017103 | PA      | $912160.85      | 0.00%             | 2046-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7420 G2 06/51 FIXED 3.5                     | CUSIP: 36179WG51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29310 | PA      | $26935.39       | 0.00%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.05250 01/07/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1429414.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX5759 FN 10/44 FIXED 4                          | CUSIP: 3138Y7MH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       172806 | PA      | $166984.30      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-3                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2006 3 A2              | CUSIP: 863587AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8501553 | PA      | $8341450.92     | 0.00%             | 2036-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2004-3                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 3 2M1             | CUSIP: 004375BR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33085 | PA      | $48484.64       | 0.00%             | 2034-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC ALTERNATE LOAN TRUST 2005-5                        | DEUTSCHE ALT A SECURITIES INC DBALT 2005 5 1A5             | CUSIP: 251510HQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1061620 | PA      | $1980557.15     | 0.00%             | 2035-11-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-R12                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M2            | CUSIP: 03072SXE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       218412 | PA      | $223689.86      | 0.00%             | 2035-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1948 FN 01/42 FIXED VAR                        | CUSIP: 3138EJEW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       215720 | PA      | $209923.90      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER PORTFOLIO SERVICES AUTO TRUST 2025-C                                    | CPS AUTO TRUST CPS 2025 C A 144A                           | CUSIP: 12634SAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28197032 | PA      | $28274748.20    | 0.01%             | 2029-03-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                       | HARDWOOD FUNDING LLC CORP0HRE5                             | CUSIP: 955NUFII1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12000000 | PA      | $12257369.52    | 0.01%             | 2030-06-07      | Fixed         | 4.98%                 | Yes           |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/26 1.5                                  | CUSIP: 9128282A7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1100000 | PA      | $1078795.40     | 0.00%             | 2026-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ6229 FN 08/45 FIXED 4                          | CUSIP: 3138YX4P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       464493 | PA      | $446399.40      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A            | CUSIP: 93364EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25737807 | PA      | $24318457.14    | 0.01%             | 2037-05-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.01300 01/15/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $5178210.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 X 144A        | CUSIP: 173114AQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231604977 | PA      | $15982457.28    | 0.01%             | 2070-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 2A1                 | CUSIP: 466247J46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2382969 | PA      | $2075682.43     | 0.00%             | 2036-04-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA6             | CUSIP: 059515AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       176055 | PA      | $151695.66      | 0.00%             | 2037-04-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM4 TRUST                                                              | MFRA TRUST MFRA 2023 NQM4 A1 144A                          | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15342753 | PA      | $15486246.38    | 0.01%             | 2068-12-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-1                                                   | FREMONT HOME LOAN TRUST FHLT 2005 1 M6                     | CUSIP: 35729PJG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22416000 | PA      | $19105217.32    | 0.01%             | 2035-06-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 12 2A1           | CUSIP: 07384M6H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       364769 | PA      | $359325.09      | 0.00%             | 2035-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-R2                                                                | CIM TRUST CIM 2019 R2 B1 144A                              | CUSIP: 17182AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15069000 | PA      | $13861970.09    | 0.01%             | 2058-07-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/1.3000 06/16/22-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $44050614.84    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR3232 FN 04/43 FIXED 3                          | CUSIP: 3138W0SW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145304 | PA      | $133841.67      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8375 FN 02/47 FIXED 4                          | CUSIP: 3140FUJV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74724 | PA      | $71186.98       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                         | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375          | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |     19725000 | PA      | $17924946.01    | 0.01%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BIOCEANICO SOVEREIGN CERTIFICATE LTD                                             | BIOCEANICO SOVEREIGN SR SECURED REGS 06/34 0.00000         | CUSIP: G11176AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      1960816 | PA      | $1608359.18     | 0.00%             | 2034-06-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF7                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF7 2A3            | CUSIP: 320277AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1019057 | PA      | $1004193.97     | 0.00%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8052 FR 02/53 FIXED 5.5                | CUSIP: 3133BV5M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141080 | PA      | $143234.12      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 AIOS 144A     | CUSIP: 17329AAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580344811 | PA      | $2337657.92     | 0.00%             | 2060-09-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB6                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB6 A24          | CUSIP: 14986PAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13093392 | PA      | $12531479.73    | 0.01%             | 2036-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MORTGAGE SEC 2001-28                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 28 1A1            | CUSIP: 22540VKM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       384085 | PA      | $217313.52      | 0.00%             | 2031-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20251003                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $684791.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-11                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 11 2A42           | CUSIP: 007036VE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1171532 | PA      | $738581.93      | 0.00%             | 2036-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 B1 144A       | CUSIP: 173114AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12710050 | PA      | $12155656.68    | 0.01%             | 2070-03-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2945 FN 07/44 FIXED 4                          | CUSIP: 3138WCHX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       741595 | PA      | $717533.50      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE4                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE4 2A3           | CUSIP: 93363XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10738501 | PA      | $6210459.47     | 0.00%             | 2047-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2013-8R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2013 8R 6A3 144A         | CUSIP: 12647HBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25203965 | PA      | $10731031.64    | 0.01%             | 2037-05-27      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH3607 FN 05/47 FIXED 3.5                        | CUSIP: 3140GSAH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       624949 | PA      | $584308.54      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-116050.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 3A1           | CUSIP: 12668AXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       152043 | PA      | $142281.97      | 0.00%             | 2035-11-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $7271.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BB9647 G2 08/47 FIXED 3.5                     | CUSIP: 3617B1WG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2569135 | PA      | $2376750.06     | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A1A         | CUSIP: 073888AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       116732 | PA      | $118854.87      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 2A4                 | CUSIP: 466247J79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1166608 | PA      | $1016172.70     | 0.00%             | 2036-04-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-ASAP6                     | ACE SECURITIES CORP. ACE 2006 ASP6 A2B                     | CUSIP: 00443KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7129202 | PA      | $2257245.75     | 0.00%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A Z 144A                       | CUSIP: ACI2V5FF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     35282000 | PA      | $35754467.04    | 0.02%             | 2056-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60240 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-188253.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A           | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       441860 | PA      | $94465.14       | 0.00%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 B1 144A       | CUSIP: 17329AAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36154150 | PA      | $32097654.37    | 0.02%             | 2060-09-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA9346 FN 08/39 FIXED 4.5                        | CUSIP: 31416TL49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       114270 | PA      | $115136.52      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR2                                                          | BCAP LLC TRUST BCAP 2012 RR2 5A7 144A                      | CUSIP: 05540FBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1076717 | PA      | $1017895.16     | 0.00%             | 2036-02-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR27                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR27 2A1          | CUSIP: 45661LAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46710 | PA      | $42344.13       | 0.00%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $0.00           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $2112.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-3A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2024 3A A3              | CUSIP: 30165AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8049827 | PA      | $8061132.57     | 0.00%             | 2027-12-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5022 FR 11/39 FIXED 3                  | CUSIP: 3133KYSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       868758 | PA      | $813917.57      | 0.00%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $22573.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2006-1                                          | AEGIS ASSET BACKED SECURITIES AABST 2006 1 A3              | CUSIP: 00764SAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5264904 | PA      | $3990495.01     | 0.00%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA2134 FR 02/50 FIXED 3.5                | CUSIP: 3133KHLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19420543 | PA      | $18104357.54    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2020-B18                                               | BENCHMARK MORTGAGE TRUST BMARK 2020 B18 XB 144A            | CUSIP: 08163AAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68256000 | PA      | $1583617.69     | 0.00%             | 2053-07-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-0.07          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 2A1            | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3626109 | PA      | $3573297.75     | 0.00%             | 2034-04-21      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5251 FR 01/53 FIXED 5.5                | CUSIP: 3133BSZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12951690 | PA      | $13124403.24    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF17                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF17 A5            | CUSIP: 32028KAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6825275 | PA      | $5927778.21     | 0.00%             | 2036-12-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1148.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3300 FN 11/52 FIXED VAR                        | CUSIP: 3140XJU27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5018110 | PA      | $5209807.10     | 0.00%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52131 FG 11/47 FIXED 3.5                | CUSIP: 3132XULM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       792156 | PA      | $740074.56      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS G 144A                   | CUSIP: 90137LAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18747000 | PA      | $16342697.25    | 0.01%             | 2035-05-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR4885 FN 01/43 FIXED 4                          | CUSIP: 3138W2NB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3245 | PA      | $3165.04        | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XX LTD / PREFERRED TERM SECURITIES XX INC              | PREFERRED TERM SECS XX SR SECURED 144A 03/38 VAR           | CUSIP: 74042DAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     37143985 | PA      | $34982204.82    | 0.02%             | 2038-03-22      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 10CB 1A5         | CUSIP: 12667GBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8773937 | PA      | $7017126.02     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-21                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 1A              | CUSIP: 12667LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12136979 | PA      | $11746327.62    | 0.01%             | 2035-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A6            | CUSIP: 05948XBX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |            4 | PA      | $3.83           | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A B3 144A         | CUSIP: 64830TBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15830210 | PA      | $15402843.83    | 0.01%             | 2059-10-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-8 LLC                                                                  | PRP ADVISORS, LLC PRPM 2024 8 A1 144A                      | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24571010 | PA      | $24571324.24    | 0.01%             | 2029-12-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 B1             | CUSIP: 576433UQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34362 | PA      | $33425.50       | 0.00%             | 2034-12-21      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB8748 FN 06/54 FIXED 7                          | CUSIP: 3140QUWJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       119924 | PA      | $126075.77      | 0.00%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM3527 FR 06/47 FIXED 4.5                | CUSIP: 3131XW4L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10412 | PA      | $10305.33       | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC VENTURE GLOBAL LNG INC              | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    138600000 | PA      | $143518941.72   | 0.07%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.20325 04/02/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-32825398.76   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR3                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR3 2A1                 | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       210717 | PA      | $200452.04      | 0.00%             | 2044-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB             | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6733205 | PA      | $6826699.09     | 0.00%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                       | ENVISION HEALTHCARE CORPORTION 2023 1ST LIEN FIRST OUT TL  | CUSIP: 949ABEII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    173078164 | PA      | $173078163.78   | 0.09%             | 2026-11-03      | Floating      | 12.23%                | No            |                  3 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABRT G                                      | CUSIP: ACI01UGV2<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1850 FN 08/49 FIXED 3                          | CUSIP: 3140JWBU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34024208 | PA      | $30452948.89    | 0.02%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $4302508.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS3940 FR 06/38 FIXED 4.5                | CUSIP: 3132A4LV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55661 | PA      | $55638.59       | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3738 FN 08/34 FIXED 3                          | CUSIP: 31418DEL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34087 | PA      | $33010.92       | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-4                                              | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 4 M4               | CUSIP: 29256PAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6195827 | PA      | $6044018.85     | 0.00%             | 2036-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MIDOCEAN CREDIT CLO VI 2016-6A                                                   | MIDOCEAN CREDIT CLO MIDO 2016 6A ARRR 144A                 | CUSIP: 59802XBN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11655466 | PA      | $11666417.83    | 0.01%             | 2033-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD5541 FN 05/30 FIXED 5                          | CUSIP: 31418TEP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3592 | PA      | $3624.90        | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08760 FG 04/47 FIXED 3                  | CUSIP: 3128MJZ29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6066078 | PA      | $5492332.53     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1759 FN 11/46 FIXED VAR                        | CUSIP: 3140J55V7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14905 | PA      | $14500.15       | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A1A          | CUSIP: 92922FXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2246161 | PA      | $2182323.06     | 0.00%             | 2044-07-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.03683 08/07/23-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-3373633.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A3            | CUSIP: 75115AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5596056 | PA      | $4732138.76     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 3 2BA1                    | CUSIP: 81744MAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       416883 | PA      | $333340.94      | 0.00%             | 2037-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-17014.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2C               | CUSIP: 617538AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3798292 | PA      | $1907322.50     | 0.00%             | 2036-12-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-12R                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 12R 2A2 144A        | CUSIP: 12651DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4333169 | PA      | $3988792.69     | 0.00%             | 2037-11-30      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-86498.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-296072.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2018 4 M1 144A              | CUSIP: 89175TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16981078 | PA      | $13842161.39    | 0.01%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-7AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 7AR 2A1            | CUSIP: 61748HCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       725205 | PA      | $717539.85      | 0.00%             | 2034-09-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-12641.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX TRUST 2022-FOX2                                                               | BX TRUST BX 2022 FOX2 A2 144A                              | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11715739 | PA      | $11701251.44    | 0.01%             | 2039-04-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2304 G2 10/44 FIXED 4                       | CUSIP: 36179QRZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3037628 | PA      | $2922907.96     | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-2                                                     | LEHMAN MORTGAGE TRUST LMT 2005 2 4A1                       | CUSIP: 52520MCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2881276 | PA      | $433449.90      | 0.00%             | 2035-12-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI0682 FN 05/41 FIXED 4.5                        | CUSIP: 3138ADXL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          577 | PA      | $577.41         | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-AHL3                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 AHL3 M1           | CUSIP: 76110W6N1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14103578 | PA      | $13555109.43    | 0.01%             | 2035-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2006-7                                                     | TERWIN MORTGAGE TRUST TMTS 2006 7 1A2B 144A                | CUSIP: 88156PAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1385884 | PA      | $1362283.78     | 0.00%             | 2037-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-5AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 5AR 2A             | CUSIP: 61748HAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        53161 | PA      | $49406.50       | 0.00%             | 2034-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS INTERNATIONAL LP                                            | ALIGNED DATA CENTERS INTER LP 2024 TERM LOAN               | CUSIP: BA000JN59<br>LEI: 2549007PAQ06QVDCLR50 | Long             | LON              | CORP              | US        |    468600000 | PA      | $472279672.13   | 0.23%             | 2029-12-18      | Floating      | 7.54%                 | No            |                  3 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-WF1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 WF1 2A5            | CUSIP: 65535VKX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          186 | PA      | $187.79         | 0.00%             | 2035-03-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-14N                                                         | LEHMAN XS TRUST LXS 2006 14N 3A2                           | CUSIP: 52522CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2035752 | PA      | $2301894.49     | 0.00%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3159 FN 10/27 FIXED 3                          | CUSIP: 31418CQM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22305 | PA      | $22071.69       | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847555 FH 04/36 FLOATING VAR             | CUSIP: 3128JRMC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1683 | PA      | $1721.91        | 0.00%             | 2036-04-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF4                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF4 M1             | CUSIP: 362334FV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16351012 | PA      | $15712699.32    | 0.01%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7756 FN 08/46 FIXED 4                          | CUSIP: 3140FFTN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156164 | PA      | $150273.78      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9261 FN 03/47 FIXED 4.5                        | CUSIP: 3140FVJF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14565 | PA      | $14467.26       | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6314 FN 12/45 FIXED 4                          | CUSIP: 3138WGAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98639 | PA      | $94960.50       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRIME PROPERTY FUND LLC                                                          | PRIME PROPERTY 5YR                                         | CUSIP: 954VLXII5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34500000 | PA      | $34734393.35    | 0.02%             | 2029-09-30      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| CSMC TRUST 2018-RPL3                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL3 PT 144A        | CUSIP: 12653JAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139128382 | PA      | $114650329.32   | 0.06%             | 2058-01-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                                 | BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1                | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2108117 | PA      | $2010961.42     | 0.00%             | 2036-01-25      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC 2007-3                        | MLCC MORTGAGE INVESTORS INC MLCC 2007 3 2A1                | CUSIP: 59022XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3013784 | PA      | $2604068.93     | 0.00%             | 2037-09-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-9                                                   | GSR MORTGAGE LOAN TRUST GSR 2004 9 3A1                     | CUSIP: 36242DBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94235 | PA      | $90032.24       | 0.00%             | 2034-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2929 FN 03/47 FIXED 3.5                        | CUSIP: 31418CHF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       289397 | PA      | $270578.36      | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-8                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 8 1A2A            | CUSIP: 17307GE46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1390488 | PA      | $622738.82      | 0.00%             | 2035-10-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4420 FN 10/49 FIXED 3                          | CUSIP: 3140QB4E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47990190 | PA      | $43010712.22    | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M3            | CUSIP: 59020UUY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       497718 | PA      | $480663.87      | 0.00%             | 2036-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR 2007-5AX                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 5AX 2A1            | CUSIP: 61751GAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2766297 | PA      | $536425.12      | 0.00%             | 2037-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2202 FN 12/45 FIXED 4                          | CUSIP: 3140E6NU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       429009 | PA      | $413584.72      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 1 A1                      | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1954536 | PA      | $858255.82      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE3                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE3 1A1             | CUSIP: 65536QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18725506 | PA      | $17602849.83    | 0.01%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080583 G2 03/32 FLOATING VAR                  | CUSIP: 36225CUH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2054 | PA      | $2085.06        | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-5A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 5A B4B 144A        | CUSIP: 64829XBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6506792 | PA      | $6291861.16     | 0.00%             | 2057-12-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                   | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     31069000 | PA      | $30722905.01    | 0.02%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A         | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18817030 | PA      | $19248438.54    | 0.01%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.30000 12/02/24-7Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3020827.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH                    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH A 144A      | CUSIP: 46654EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19290000 | PA      | $18734891.67    | 0.01%             | 2038-06-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF5             | CUSIP: 75970QAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38172072 | PA      | $10393907.87    | 0.01%             | 2037-06-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN1377 FR 01/35 FIXED 3                  | CUSIP: 3133G7Q63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68260 | PA      | $66186.44       | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.95000 09/13/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $7895083.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5454 FR 06/48 FIXED 4                  | CUSIP: 31329PBX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       381747 | PA      | $367803.41      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2001-3                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 A2             | CUSIP: 07384YBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4570 | PA      | $4565.61        | 0.00%             | 2032-10-27      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 M2 144A       | CUSIP: 17330EAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48402500 | PA      | $40519160.62    | 0.02%             | 2061-08-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-11AR                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 11AR A1            | CUSIP: 61748HTG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       934022 | PA      | $498477.57      | 0.00%             | 2036-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0909 FN 11/43 FIXED 4.5                        | CUSIP: 3138WAAK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6945 | PA      | $6925.35        | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-2N                                                   | LEHMAN XS TRUST LXS 2007 2N 2A                             | CUSIP: 52524LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10766930 | PA      | $10038369.79    | 0.00%             | 2037-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 06/21/23-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $105267586.28   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF3140 FR 11/52 FIXED 6                  | CUSIP: 3133BQPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       982534 | PA      | $1014408.56     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-161978.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G07786 FG 08/44 FIXED 4                  | CUSIP: 3128M96X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       246576 | PA      | $240112.04      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4721 FN 12/45 FIXED 4                          | CUSIP: 3140E9G75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11550 | PA      | $11119.48       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY9280 FN 10/53 FIXED 6                          | CUSIP: 3140NSJ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       197542 | PA      | $202794.63      | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-12                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 12 4A1            | CUSIP: 2254W0MK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9576935 | PA      | $2244873.71     | 0.00%             | 2036-03-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PACIFIC PROPERTIE COMPANY GUAR 04/29 4.65           | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |       700000 | PA      | $652042.44      | 0.00%             | 2029-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR8 A1A           | CUSIP: 86361WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1687664 | PA      | $1525534.24     | 0.00%             | 2036-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5596 FN 08/45 FIXED 3.5                        | CUSIP: 3138WFGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        71566 | PA      | $67200.22       | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MESA TRUST ASSET BK CERT 2001-5                                                  | MESA TRUST ASSET BACKED CERTIF MESA 2001 5 M1 144A         | CUSIP: 68400XAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       688084 | PA      | $598713.14      | 0.00%             | 2031-11-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR18 1A1          | CUSIP: 92922F8K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       754512 | PA      | $727278.71      | 0.00%             | 2036-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB1 6A1                  | CUSIP: 12669GQP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49864 | PA      | $47315.78       | 0.00%             | 2035-03-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-2                        | GM FINANCIAL CONSUMER AUTOMOBI GMCAR 2023 2 A3             | CUSIP: 362583AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12182374 | PA      | $12205544.64    | 0.01%             | 2028-02-16      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7192 FN 03/47 FIXED 4                          | CUSIP: 3140FS7E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4062608 | PA      | $3911874.44     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA4                                                          | BCAP LLC TRUST BCAP 2007 AA4 13A1                          | CUSIP: 05530WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1167505 | PA      | $981211.73      | 0.00%             | 2047-06-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP5567 FN 06/50 FIXED 3.5                        | CUSIP: 3140KDFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11256 | PA      | $10416.43       | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW8859 FN 09/52 FIXED 4                          | CUSIP: 3140N1ZZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        63305 | PA      | $59781.28       | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND TRUST 2022-1                                         | HOMEWARD OPPORTUNITIES FUND I HOF 2022 1 A1 144A           | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7228309 | PA      | $7222140.74     | 0.00%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3008 FN 11/47 FIXED 3.5                        | CUSIP: 3140H4KW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41894 | PA      | $39007.77       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-1A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 1A B1 144A         | CUSIP: 64829JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1423486 | PA      | $1409729.69     | 0.00%             | 2057-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5370 FN 05/54 FIXED 7                          | CUSIP: 31418E6G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125996 | PA      | $132044.44      | 0.00%             | 2054-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD0946 FN 06/46 FIXED 4                          | CUSIP: 3140F8BQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6809 | PA      | $6549.91        | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-179248.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TROPIC CDO CORP 2006-5A                                                          | TROPIC CDO CORP TROPC 2006 5A A1L1 144A                    | CUSIP: 89708BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     17886669 | PA      | $17439502.69    | 0.01%             | 2036-07-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| DC COMMERCIAL MORTGAGE TRUST 2023-DC                                             | DC COMMERCIAL MORTGAGE TRUST DC 2023 DC A 144A             | CUSIP: 24023AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18400000 | PA      | $19071176.80    | 0.01%             | 2040-09-12      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1            | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       685348 | PA      | $595144.26      | 0.00%             | 2035-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6949 FN 02/53 FIXED 6                          | CUSIP: 3140NBWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       713632 | PA      | $735115.32      | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A1            | CUSIP: 06050HKP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4530 | PA      | $4420.70        | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5235 FN 01/48 FIXED 3.5                        | CUSIP: 3140H6Y94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       209021 | PA      | $193633.55      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 WF2 M6            | CUSIP: 86359DDG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       444156 | PA      | $435298.60      | 0.00%             | 2035-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-C                                   | HYUNDAI AUTO LEASE SECURITIZAT HALST 2023 C A3 144A        | CUSIP: 44935VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23819093 | PA      | $23882769.04    | 0.01%             | 2026-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2004-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2004 S2 6A1                 | CUSIP: 466247KA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1393880 | PA      | $951421.48      | 0.00%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4844 FN 05/27 FIXED 3                          | CUSIP: 3138E9L24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4769 | PA      | $4720.05        | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-8                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 8 2A3            | CUSIP: 54251UAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2892944 | PA      | $745433.23      | 0.00%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-3                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 3 M7               | CUSIP: 29445FCD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       501463 | PA      | $467875.41      | 0.00%             | 2034-12-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260220                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-78573.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2006-2                                          | MASTR ASSET SECURITIZATION TRU MASTR 2006 2 1A11           | CUSIP: 55274QAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       979726 | PA      | $545598.58      | 0.00%             | 2036-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TR 2004-IP1                                                | RESIDENTIAL ASSET SECURITIZATI RAST 2004 IP1 A1            | CUSIP: 45660NYL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        64954 | PA      | $62148.54       | 0.00%             | 2034-01-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT2                                               | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M2           | CUSIP: 40430HEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1034157 | PA      | $1031339.05     | 0.00%             | 2036-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 2A2          | CUSIP: 92925GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26226 | PA      | $23417.24       | 0.00%             | 2036-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 2A4            | CUSIP: 12666SAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20683801 | PA      | $19186126.01    | 0.01%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 672786 FN 09/32 FIXED 6.5                        | CUSIP: 31391PNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          479 | PA      | $497.30         | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3221 FN 12/27 FIXED 3                          | CUSIP: 31418CSK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73950 | PA      | $73157.48       | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847003 FH 03/32 FLOATING VAR             | CUSIP: 3128HDX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28787 | PA      | $28987.11       | 0.00%             | 2032-03-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | FORD MOTOR COMPANY SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1170098.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0464 FR 09/52 FIXED 4                  | CUSIP: 3133BMQR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1832533 | PA      | $1730778.28     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 2A4             | CUSIP: 12668HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3057410 | PA      | $2997252.44     | 0.00%             | 2037-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BUCKINGHAM CDO LTD 2005-2A                                                       | BUCKINGHAM CDO LTD BUCK 2005 2A LT 144A                    | CUSIP: 118389AB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    643393278 | PA      | $39744332.95    | 0.02%             | 2041-04-05      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A D 144A         | CUSIP: 210928AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20919722 | PA      | $21797963.67    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-5                                                   | GSR MORTGAGE LOAN TRUST GSR 2004 5 1A1                     | CUSIP: 36228FV94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43482 | PA      | $39440.18       | 0.00%             | 2034-05-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1776 FN 11/25 FIXED 3.5                        | CUSIP: 31416W6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3516 | PA      | $3505.37        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIX LTD                                                            | SYMPHONY CLO LTD SYMP 2021 29A AR 144A                     | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     41000000 | PA      | $41163375.16    | 0.02%             | 2035-10-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-346.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE2                                              | HSI ASSET SECURITIZATION CORPO HASC 2007 HE2 2A3           | CUSIP: 40430RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6827473 | PA      | $3427285.04     | 0.00%             | 2037-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC5 A1           | CUSIP: 07384YMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34299 | PA      | $39550.46       | 0.00%             | 2033-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-4                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 D 2A1            | CUSIP: 05949ADF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       136200 | PA      | $132588.66      | 0.00%             | 2034-05-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS8790 FN 07/54 FIXED VAR                        | CUSIP: 3140XQXU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999901 | PA      | $1035237.39     | 0.00%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2018-COR3                                                    | COMM MORTGAGE TRUST COMM 2018 COR3 A3                      | CUSIP: 12595VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1400000 | PA      | $1380271.20     | 0.00%             | 2051-05-10      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1                   | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5213 | PA      | $5050.62        | 0.00%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP MYC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $118.52         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM 36 LTD                                                                       | LCM LTD PARTNERSHIP LCM 36A A1R 144A                       | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1003219.44     | 0.00%             | 2034-01-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8155 FN 01/27 FIXED 3                          | CUSIP: 3138XYBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1062 | PA      | $1051.86        | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9800 FR 09/53 FIXED 6.5                | CUSIP: 3133KR3H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4150072 | PA      | $4300222.39     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D B 144A           | CUSIP: 78450PAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43966000 | PA      | $46915977.91    | 0.02%             | 2053-09-15      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-12                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 12 5A1            | CUSIP: 2254W0MM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       683939 | PA      | $180613.41      | 0.00%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 2 B              | CUSIP: 80287JAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31319031 | PA      | $31394334.30    | 0.02%             | 2028-05-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3952 FN 01/48 FIXED 3.5                        | CUSIP: 3140H5MA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1107407 | PA      | $1031847.80     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8554 FR 03/53 FIXED 5.5                | CUSIP: 3133BWQF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3248802 | PA      | $3288516.00     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4184 FN 01/45 FIXED 4                          | CUSIP: 3138WDUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34202 | PA      | $32947.69       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-A                                                    | OPORTUN FUNDING LLC OPTN 2025 A B 144A                     | CUSIP: 68377TAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4600000 | PA      | $4606014.04     | 0.00%             | 2033-02-08      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 4A1           | CUSIP: 92925VAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6871999 | PA      | $6192495.06     | 0.00%             | 2037-02-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A2 1A1                 | CUSIP: 466247NK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24658 | PA      | $24246.41       | 0.00%             | 2035-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 AIOS 144A     | CUSIP: 17330EAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    878992221 | PA      | $2221696.79     | 0.00%             | 2061-08-01      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1B 144A         | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10430625 | PA      | $10431478.81    | 0.01%             | 2052-06-17      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| STRUC ASSET SEC CORP 2005-SC1 PRIV PLCMT                                         | STRUCTURED ASSET SECURITIES CO SASC 2005 SC1 1A1 144A      | CUSIP: 86359DTE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2587337 | PA      | $1814115.01     | 0.00%             | 2031-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                                   | OFSI FUND LTD OFSBS 2021 10A AR 144A                       | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     62000000 | PA      | $62066344.96    | 0.03%             | 2034-04-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A D 144A         | CUSIP: 210927AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20996517 | PA      | $21877833.12    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 07/12/24-8Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-675118.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR5                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR5 1A1           | CUSIP: 45661ECK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12327191 | PA      | $8192165.37     | 0.00%             | 2036-05-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A3            | CUSIP: 68402BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2951124 | PA      | $1448327.50     | 0.00%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972116 FH 02/33 FLOATING VAR             | CUSIP: 31336CK51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          389 | PA      | $394.91         | 0.00%             | 2033-02-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 258749 FN 06/36 FIXED 6                          | CUSIP: 31371QL63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57374 | PA      | $59020.42       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-9                                         | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 9 A11 144A       | CUSIP: 16160QAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46800047 | PA      | $46756251.15    | 0.02%             | 2055-09-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08726 FG 10/46 FIXED 3                  | CUSIP: 3128MJYY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       852046 | PA      | $771472.93      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2006-3X                                                             | EUROSAIL PLC ESAIL 2006 3X C1C REGS                        | CUSIP: B1HM7JII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1062452 | PA      | $1414753.64     | 0.00%             | 2044-09-10      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-8CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 8CB A7           | CUSIP: 02150FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3390442 | PA      | $1380064.49     | 0.00%             | 2037-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3920                                                          | FREDDIE MAC FHR 3920 LP                                    | CUSIP: 3137AF3W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       802687 | PA      | $819877.18      | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251107                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $104375.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0305 FN 10/46 FIXED 3.5                        | CUSIP: 3140FKKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       222034 | PA      | $208265.47      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2006-2                                               | HOME EQUITY ASSET TRUST HEAT 2006 2 M1 144A                | CUSIP: 437084TB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14264846 | PA      | $14605852.40    | 0.01%             | 2036-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY5                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY5 2A1                   | CUSIP: 12544BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       457209 | PA      | $414663.92      | 0.00%             | 2037-09-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH4054 FN 01/26 FIXED 3.5                        | CUSIP: 3138A5QG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2601 | PA      | $2590.63        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KINBANE 2022-RPL 1 DAC  22-RPL1A                                                 | KINBANE DAC KINBN 2022 RPL1A D 144A                        | CUSIP: ACI278DX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     11900000 | PA      | $14031279.06    | 0.01%             | 2062-09-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI6093 FN 06/31 FIXED 4.5                        | CUSIP: 3138AKXX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5505 | PA      | $5538.19        | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2016-3                                                 | TOWD POINT MORTGAGE TRUST TPMT 2016 3 B3 144A              | CUSIP: 89172YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $950194.50      | 0.00%             | 2056-04-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN0891 FN 11/48 FIXED 4.5                        | CUSIP: 3140JG7D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14945 | PA      | $14758.63       | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R5                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R5 M5             | CUSIP: 03072SE68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9850000 | PA      | $9548125.08     | 0.00%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                          | CHASEFLEX TRUST CFLX 2007 M1 2F4                           | CUSIP: 16165YAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3586695 | PA      | $3056471.31     | 0.00%             | 2037-08-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-4                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2005 4 M2                   | CUSIP: 66987WDF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11240576 | PA      | $10605338.04    | 0.01%             | 2036-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83495 FG 10/47 FIXED 3.5                | CUSIP: 3132L83C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       136678 | PA      | $127507.65      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO6194 FN 09/49 FIXED 3.5                        | CUSIP: 3140K13C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       324987 | PA      | $300267.99      | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL2 SA 144A      | CUSIP: 362961AH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1410145 | PA      | $1372560.56     | 0.00%             | 2065-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9601 G2 04/54 FIXED 3.5                     | CUSIP: 36179YU28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26194 | PA      | $24109.55       | 0.00%             | 2054-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3243 FN 02/50 FIXED VAR                        | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6529639 | PA      | $6038988.03     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2024-BA ASSET-BACKED NOTES              | FORD AUTO SECURITIZATION TRUST FASTR 2024 BA A1 144A       | CUSIP: 345214BR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |      4617330 | PA      | $3320101.88     | 0.00%             | 2026-10-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E 1A1            | CUSIP: 05949AGR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        68772 | PA      | $67662.23       | 0.00%             | 2034-06-25      | Fixed         | 6.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA2400 FR 04/50 FIXED 3                  | CUSIP: 3133KHUZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12337771 | PA      | $11027250.23    | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1660 FN 08/47 FIXED VAR                        | CUSIP: 3140J5Z28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16864 | PA      | $16222.94       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-AF2                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AF2 AV2C          | CUSIP: 59023NAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8988063 | PA      | $5044986.35     | 0.00%             | 2037-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2483 FN 04/53 FIXED 5                          | CUSIP: 3140NJXM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94509 | PA      | $94115.18       | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $133579.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-2                                            | DEUTSCHE ALT A SECURITIES INC DBALT 2005 2 1A3             | CUSIP: 251510DK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1316591 | PA      | $1197869.52     | 0.00%             | 2035-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR18                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR18 2A1B         | CUSIP: 45660LWE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6686253 | PA      | $3462287.65     | 0.00%             | 2036-10-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1464 FN 01/32 FIXED VAR                        | CUSIP: 3138EHTW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4217 | PA      | $4232.35        | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1           | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        78541 | PA      | $79365.46       | 0.00%             | 2036-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J8                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J8 1A3           | CUSIP: 12667GJ20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        39862 | PA      | $27427.26       | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC1                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC1 M2                | CUSIP: 61744CYC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16526610 | PA      | $15546899.00    | 0.01%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2623 FN 08/47 FIXED 4                          | CUSIP: 3140GQ4H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       833935 | PA      | $802175.37      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S FINANCE REALTY MTGE SEC 2006-1                                          | PEOPLE S FINANCIAL REALTY MORT PFRMS 2006 1 1A2            | CUSIP: 71103XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27844066 | PA      | $5065049.95     | 0.00%             | 2036-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG REG COMMON STOCK USD.1                        | CUSIP: ACI09N1W4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |       245819 | NS      | $10039037.36    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08800 FG 02/48 FIXED 3.5                | CUSIP: 3128MJ3J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24557652 | PA      | $22860647.71    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 M1 144A       | CUSIP: 86364LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22510000 | PA      | $21080288.61    | 0.01%             | 2037-08-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7273 FN 02/53 FIXED 5.5                        | CUSIP: 3140NCCK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       908454 | PA      | $919919.13      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/0.5000 03/15/22-20Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $64222371.67    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3443 FR 05/53 FIXED 5.5                | CUSIP: 3132DQZG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13677180 | PA      | $13831000.12    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC7415 FN 12/54 FIXED 7                          | CUSIP: 3140AVGZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       345149 | PA      | $363637.47      | 0.00%             | 2054-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY4339 FN 12/29 FIXED 3                          | CUSIP: 3138YHZD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33596 | PA      | $32931.01       | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5068 FN 11/53 FIXED 6.5                        | CUSIP: 3140A5T24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4744071 | PA      | $4907323.11     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/32 0.125                                | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100101847 | PA      | $92204084.55    | 0.05%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPT CORP 2006-AF2                                                | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AF2 1A4            | CUSIP: 65536VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9737549 | PA      | $2534818.34     | 0.00%             | 2036-08-25      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1+24/9.32* 12/18/25-5Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $-12332287.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES 2006-S9                                  | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S9 A3             | CUSIP: 749577AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       247944 | PA      | $197201.87      | 0.00%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2024-1A                                          | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2024 1A A2 144A       | CUSIP: 55286TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9162585 | PA      | $9176608.82     | 0.00%             | 2032-02-17      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0694 FN 04/26 FIXED 4                          | CUSIP: 31417YXY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           82 | PA      | $82.06          | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080084 G2 06/27 FLOATING VAR                  | CUSIP: 36225CCW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          489 | PA      | $490.58         | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2005-RS1                                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS1 MII2          | CUSIP: 76112BJH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3736487 | PA      | $3601958.57     | 0.00%             | 2035-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD1703 FR 09/52 FIXED 5                  | CUSIP: 3132DN3L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2516182 | PA      | $2508907.76     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9664 FN 06/47 FIXED 4                          | CUSIP: 3138WKW27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16813678 | PA      | $16179460.52    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 25 A13                    | CUSIP: 126694HS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1620066 | PA      | $600861.41      | 0.00%             | 2035-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-16                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 16 A1            | CUSIP: 12667GMC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       176623 | PA      | $169477.08      | 0.00%             | 2035-06-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/29 3.875       | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5805000 | PA      | $5671237.07     | 0.00%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A B 144A         | CUSIP: 210928AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35858221 | PA      | $37177803.73    | 0.02%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3984 FN 12/29 FIXED 3                          | CUSIP: 3138WDNA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15989 | PA      | $15716.15       | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED 144A 01/34 2.778                    | CUSIP: ACI22XT05<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     20944000 | PA      | $22593467.86    | 0.01%             | 2034-01-19      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251031                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $76191.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR1 3A1           | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13966466 | PA      | $11402039.69    | 0.01%             | 2036-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-3CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 3CB 1A13         | CUSIP: 12667FY33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2694561 | PA      | $2402088.71     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 704756 FN 03/33 FIXED 6.5                        | CUSIP: 31401C5R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1805 | PA      | $1863.86        | 0.00%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL2 A1 144A      | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24005583 | PA      | $23504567.17    | 0.01%             | 2061-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDNTIAL COLL TR 2002-BC5                                           | AMORTIZING RESIDENTIAL COLLATE ARC 2002 BC5 M2             | CUSIP: 86358RZ75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15730 | PA      | $17427.84       | 0.00%             | 2032-07-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8063 FN 08/47 FIXED 3.5                        | CUSIP: 3140GW5Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       296758 | PA      | $277399.82      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7283 FN 03/47 FIXED 4                          | CUSIP: 3140FTCV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85620 | PA      | $82359.40       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2740 FN 07/27 FIXED VAR                        | CUSIP: 3138EKBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42694 | PA      | $42348.78       | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 05/22/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $39269150.07    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV8876 FN 12/44 FIXED 4                          | CUSIP: 3138XL2J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5357 | PA      | $5208.86        | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $9557.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES4                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES4 A1A 144A        | CUSIP: 74939FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56706894 | PA      | $57507572.27    | 0.03%             | 2044-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4963 FN 05/48 FIXED VAR                        | CUSIP: 3140J9QR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26551 | PA      | $23911.83       | 0.00%             | 2048-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 6 1A2 144A        | CUSIP: 17324AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5756960 | PA      | $5137984.71     | 0.00%             | 2047-05-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-511070.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK8732 FN 12/48 FIXED 4.5                        | CUSIP: 3140HNV25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1241965 | PA      | $1225859.57     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0207 FN 03/48 FIXED 4                          | CUSIP: 3140HDGR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       910474 | PA      | $875326.74      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                      | NEWGATE FUNDING PLC NGATE 2007 3X CB REGS                  | CUSIP: B2NDQJII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2899437 | PA      | $3166797.12     | 0.00%             | 2050-12-15      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 2A1            | CUSIP: 65535VRZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       251532 | PA      | $186858.19      | 0.00%             | 2036-02-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 WF2 M2            | CUSIP: 86360LAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24001169 | PA      | $23633735.14    | 0.01%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP DUB                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $131851.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                          | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 E 144A        | CUSIP: 69546YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7048296 | PA      | $6893789.80     | 0.00%             | 2032-04-15      | Fixed         | 10.27%                | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q36638 FG 10/45 FIXED 3.5                | CUSIP: 3132QTLU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2633 | PA      | $2480.04        | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6515 FN 01/46 FIXED 4                          | CUSIP: 3138WGGZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        71018 | PA      | $68376.61       | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2870 FR 04/53 FIXED 5.5                | CUSIP: 3132DQFK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       165837 | PA      | $168139.82      | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD3334 FN 01/55 FIXED 7                          | CUSIP: 3140B3V41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1025737 | PA      | $1079206.98     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3210 FN 12/47 FIXED 3.5                        | CUSIP: 31418CR89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13819691 | PA      | $12876750.02    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95              | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    331675000 | PA      | $105806813.48   | 0.05%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD 2019-1A                                                         | FLATIRON CLO LTD FLAT 2019 1A AR2 144A                     | CUSIP: 33883JAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     34079196 | PA      | $34129878.20    | 0.02%             | 2034-11-16      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/27 VAR        | CUSIP: 65480CAJ4<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     16100000 | PA      | $16072285.62    | 0.01%             | 2027-09-13      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7886 FN 09/46 FIXED 3                          | CUSIP: 3138WHXQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6854 | PA      | $6197.99        | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0949 FN 02/41 FIXED VAR                        | CUSIP: 31419BBT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13408 | PA      | $13075.59       | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN TRUST 2010-RR4                                         | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2010 RR4 1A2 144A     | CUSIP: 94987FAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11247096 | PA      | $5419860.72     | 0.00%             | 2046-12-27      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    262759000 | PA      | $254900461.63   | 0.13%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TR 2005-4                                               | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 4 7M1             | CUSIP: 007036KR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1881779 | PA      | $1705874.30     | 0.00%             | 2035-08-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $6888.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA7666 FN 06/39 FIXED 4.5                        | CUSIP: 31416RQU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        86391 | PA      | $87072.13       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-N1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 N1 A3 144A       | CUSIP: 14688XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14300000 | PA      | $14434185.48    | 0.01%             | 2029-08-10      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH3466 FN 11/47 FIXED 4                          | CUSIP: 3140GRZ80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76700 | PA      | $73783.05       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                        | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 A1 144A         | CUSIP: 26844QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7214022 | PA      | $7205071.44     | 0.00%             | 2068-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                                    | AMSURG EQUITY EQTYAS910                                    | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5968052 | NS      | $269437656.28   | 0.13%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5332 FN 07/45 FIXED 4                          | CUSIP: 3138WE4S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8734 | PA      | $8415.22        | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745974 FN 10/36 FLOATING VAR                     | CUSIP: 31403DXB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          968 | PA      | $994.11         | 0.00%             | 2036-10-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA E 144A         | CUSIP: 21050UAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6314000 | PA      | $6432408.97     | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                         | SOFTBANK VISION FUND II FIXED TERM LOAN                    | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    397322140 | PA      | $397322139.57   | 0.20%             | 2025-12-21      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2006-1                                                | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 1 A5              | CUSIP: 83611MKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10422424 | PA      | $9900923.71     | 0.00%             | 2036-02-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2545 FN 04/47 FIXED 4                          | CUSIP: 3140FMZK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2316 | PA      | $2229.23        | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2A             | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3887386 | PA      | $3900172.98     | 0.00%             | 2027-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 2A3            | CUSIP: 54251MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8274110 | PA      | $2387280.09     | 0.00%             | 2036-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3890 FN 01/40 FIXED 3                          | CUSIP: 31418DKC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38998 | PA      | $36522.64       | 0.00%             | 2040-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                                               | RCKT TRUST RCKTL 2025 1A A 144A                            | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9008875 | PA      | $9031003.91     | 0.00%             | 2034-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.6* 07/15/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $195815186.64   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75             | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      2902000 | PA      | $2217132.24     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2016-GS4                                            | GS MORTGAGE SECURITIES TRUST GSMS 2016 GS4 XA              | CUSIP: 36251XAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104669546 | PA      | $295827.54      | 0.00%             | 2049-11-10      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5787 FN 08/47 FIXED VAR                        | CUSIP: 3140JAND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49638 | PA      | $47796.78       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0668 FN 03/31 FIXED 4.5                        | CUSIP: 31417YW60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4991 | PA      | $5021.38        | 0.00%             | 2031-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7557 FN 11/52 FIXED 5.5                        | CUSIP: 3140MMMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9791039 | PA      | $9917814.80     | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3871                                                                 | FREDDIE MAC FHR 3871 JB                                    | CUSIP: 3137AC7C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11349763 | PA      | $11857946.48    | 0.01%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3867 FN 11/41 FIXED 3.5                        | CUSIP: 31417AJM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       333916 | PA      | $318047.21      | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IMPAC SEC ASSETS CMN OWNER TR 2003-1                                             | IMPAC SECURED ASSETS CORP. IMSA 2003 1 A1                  | CUSIP: 45254TMF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       930089 | PA      | $925102.61      | 0.00%             | 2033-03-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2004 A 3A1             | CUSIP: 06051GBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       291793 | PA      | $266995.27      | 0.00%             | 2034-05-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-OP2                                                     | ACE SECURITIES CORP. ACE 2006 OP2 A2D                      | CUSIP: 00441YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21228536 | PA      | $20140265.56    | 0.01%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 2A4            | CUSIP: 126670KN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4296254 | PA      | $3865567.07     | 0.00%             | 2036-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM0076 FN 03/50 FIXED VAR                        | CUSIP: 3140X3CN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    331162336 | PA      | $295986421.35   | 0.15%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $932827.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 21 A38                    | CUSIP: 126694EE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1686023 | PA      | $896666.97      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q56464 FG 06/48 FIXED 4                  | CUSIP: 3132Y0FE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19204 | PA      | $18490.62       | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/27 0.375                                | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     23418447 | PA      | $23241265.73    | 0.01%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-5                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 5 1A               | CUSIP: 12668KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21924161 | PA      | $20556571.05    | 0.01%             | 2047-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43948 FG 10/46 FIXED 3                  | CUSIP: 3132WHL60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7434823 | PA      | $6731695.76     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8945 FN 06/46 FIXED 3.5                        | CUSIP: 3140F45F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51593 | PA      | $48243.77       | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 2A1            | CUSIP: 07384MW65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500112 | PA      | $455582.82      | 0.00%             | 2034-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 2A3             | CUSIP: 12667AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2003185 | PA      | $1913060.52     | 0.00%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                                   | ARGENT SECURITIES INC. ARSI 2006 W3 A2D                    | CUSIP: 040104SS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6448940 | PA      | $2021215.86     | 0.00%             | 2036-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2018-B                                                    | SOFI ALTERNATIVE TRUST SAT 2018 B PT 144A                  | CUSIP: 83404VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93420929 | PA      | $89314527.59    | 0.04%             | 2050-06-15      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO 4 LTD 2023-2A                                                     | 37 CAPITAL CLO LTD PUTNM 2023 2A AR 144A                   | CUSIP: 883932AN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     76900000 | PA      | $76954349.08    | 0.04%             | 2035-04-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889312 FN 02/38 FIXED VAR                        | CUSIP: 31410KAM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50767 | PA      | $53507.57       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7554 FR 06/52 FIXED 4                  | CUSIP: 3133KPMB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       817374 | PA      | $773088.75      | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO4382 FN 10/49 FIXED 4.5                        | CUSIP: 3140JY2Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       184342 | PA      | $183102.71      | 0.00%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-9                                                    | GSAA HOME EQUITY TRUST GSAA 2006 9 A3                      | CUSIP: 362382AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34161302 | PA      | $6358941.87     | 0.00%             | 2036-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4882 FR 10/33 FIXED 3                  | CUSIP: 3131XYM71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41368 | PA      | $40245.95       | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R3                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R3 A1 144A         | CUSIP: 62951MAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1036914 | PA      | $902439.84      | 0.00%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 6A2                 | CUSIP: 466247ZC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9382 | PA      | $7315.89        | 0.00%             | 2035-11-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                                       | CAPITAL FOUR CLO CFOUR 10A A 144A                          | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     63300000 | PA      | $74437206.60    | 0.04%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 45 1A1           | CUSIP: 12667G6J7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3404219 | PA      | $3088884.82     | 0.00%             | 2035-10-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                                        | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A             | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     96429137 | PA      | $113247549.93   | 0.06%             | 2033-08-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A2         | CUSIP: 92922F7Q5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1998580 | PA      | $1836956.91     | 0.00%             | 2045-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GCAT LLC 2019-RPL1                                                               | GCAT GCAT 2019 RPL1 M2 144A                                | CUSIP: 36167CAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $945468.90      | 0.00%             | 2068-10-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6.5 JUMBOS                               | CUSIP: 21H0626A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    352400000 | PA      | $361977340.43   | 0.18%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                           | CVS PASS THROUGH TR 2014 PASS THRU CE 144A 08/36 4.163     | CUSIP: 12665VAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4504153 | PA      | $4253920.74     | 0.00%             | 2036-08-11      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3612 FN 03/39 FIXED 4                          | CUSIP: 31418DAN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1509681 | PA      | $1485921.95     | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A5          | CUSIP: 46629KAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16253612 | PA      | $12282235.18    | 0.01%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-1184759.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0255 G2 03/55 FIXED 3.5                     | CUSIP: 3618N5H93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    287095917 | PA      | $262019406.36   | 0.13%             | 2055-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A1 144A      | CUSIP: 17312GAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9444340 | PA      | $8356564.53     | 0.00%             | 2037-05-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-5                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 5 A1               | CUSIP: 026936AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1180850 | PA      | $1123740.78     | 0.00%             | 2047-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1132275.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-1PL                                                          | ACHV ABS TRUST ACHV 2024 1PL A 144A                        | CUSIP: 00092BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       720935 | PA      | $727885.49      | 0.00%             | 2031-04-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46441 FG 02/47 FIXED 3                  | CUSIP: 3132WLEP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4058429 | PA      | $3674625.25     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 02/32 9.875         | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    133350000 | PA      | $145264582.47   | 0.07%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-SHL1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 M1 144A      | CUSIP: 17312WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12375000 | PA      | $10394858.93    | 0.01%             | 2046-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A3            | CUSIP: 68403KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4125512 | PA      | $2697913.04     | 0.00%             | 2037-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 12A1           | CUSIP: 07384M2B7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8637 | PA      | $8419.96        | 0.00%             | 2034-11-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 A2 144A      | CUSIP: 36265TAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24938000 | PA      | $21298578.21    | 0.01%             | 2061-06-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.13 SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $260780.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HENLEY CLO VII DAC 7A                                                            | HENLEY FUNDING LTD. HNLY 7A AR                             | CUSIP: ACI2QFVZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     35700000 | PA      | $41955425.86    | 0.02%             | 2034-04-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-5N                                                          | LEHMAN XS TRUST LXS 2005 5N 3A1A                           | CUSIP: 86359DUR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2192 | PA      | $2190.18        | 0.00%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW2284 FN 08/52 FIXED 4.5                        | CUSIP: 3140MTRE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1781024 | PA      | $1734107.11     | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY42 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1108047.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXPORT CREDIT BANK OF TURKEY (TURK EXIMBANK)                                     | TURK IHRACAT KR BK SR UNSECURED 144A 07/28 6.875           | CUSIP: 90015LAK3<br>LEI: 789000JVRVYLAXGDWR11 | Long             | DBT              | CORP              | TR        |     18400000 | PA      | $18799812.68    | 0.01%             | 2028-07-03      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-41152021.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ4818 FN 11/42 FIXED 4                          | CUSIP: 3138MLK86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57458 | PA      | $56198.81       | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AL29 CREDIT SUISSE GROUP AG          | CUSIP: 952NPL005<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     25350000 | PA      | $3295500.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1423 FN 04/47 FIXED 4                          | CUSIP: 3140GPSM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       116213 | PA      | $111794.14      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-6468.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-58577.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT0789 FR 10/48 FIXED 4                  | CUSIP: 3132AC2W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       304142 | PA      | $292289.63      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3210 FN 12/47 FIXED 4                          | CUSIP: 3140H4R89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42702 | PA      | $41030.95       | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $1050460.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3058 FN 07/47 FIXED 4                          | CUSIP: 31418CMG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       991922 | PA      | $945609.45      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A        | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1914094.52     | 0.00%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTAGE SEC INC 2004-R3                                                 | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R3 M2             | CUSIP: 03072SQD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9109359 | PA      | $9033077.80     | 0.00%             | 2034-05-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $620.42         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A9CB                                            | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A9CB A6           | CUSIP: 76112HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4451051 | PA      | $1295756.52     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                                           | PIKES PEAK CLO PIPK 2018 2A ARR 144A                       | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     45000000 | PA      | $45053357.40    | 0.02%             | 2034-10-11      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $58062.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1897 FN 05/53 FIXED 5.5                        | CUSIP: 3140NJDB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1307630 | PA      | $1322369.85     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 2A1A                | CUSIP: 23333YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19823377 | PA      | $16512050.28    | 0.01%             | 2037-03-19      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55625 FG 04/48 FIXED 4                  | CUSIP: 3132XYHB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16273 | PA      | $15669.52       | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9432 FN 10/46 FIXED VAR                        | CUSIP: 3138ERPS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10293 | PA      | $9271.62        | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-2                                                     | LEHMAN MORTGAGE TRUST LMT 2006 2 1A1                       | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2746748 | PA      | $1707619.42     | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1555 FN 02/48 FIXED 4                          | CUSIP: 3140Q8WR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9352175 | PA      | $8992109.37     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 1M1                  | CUSIP: 07386HSR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       147652 | PA      | $275420.50      | 0.00%             | 2035-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV2082 FN 11/28 FIXED 3.5                        | CUSIP: 3138XDJ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1393 | PA      | $1376.65        | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1           | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2295988 | PA      | $2206781.08     | 0.00%             | 2035-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                                      | CAPITAL FOUR US CLO C4US 2022 1A AR 144A                   | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     37500000 | PA      | $37668750.00    | 0.02%             | 2037-01-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 09/34 6.25                       | CUSIP: ACI2TMX47<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    131300000 | PA      | $159085743.27   | 0.08%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S2 1A3                 | CUSIP: 46630WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10941205 | PA      | $3800246.95     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW8846 FN 09/52 FIXED 4                          | CUSIP: 3140N1ZL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       391475 | PA      | $369737.67      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M2            | CUSIP: 59020UUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1236912 | PA      | $1241531.95     | 0.00%             | 2036-02-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB4                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB4 2A2                  | CUSIP: 12669FY72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        53125 | PA      | $51065.87       | 0.00%             | 2034-09-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS13 1A5          | CUSIP: 75115DAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1606274 | PA      | $1289690.18     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES6                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES6 A1 144A           | CUSIP: 891947AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31511981 | PA      | $31813169.03    | 0.02%             | 2064-11-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $10529.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6502 FN 01/48 FIXED 4                          | CUSIP: 3140H8GL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       943919 | PA      | $907784.25      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-22                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 22 1A4            | CUSIP: 863579J90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        76989 | PA      | $52396.85       | 0.00%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20251120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $2858.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1568 FN 01/42 FIXED VAR                        | CUSIP: 3138EHW65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2041 | PA      | $2049.57        | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 653638 FN 07/32 FIXED 6.5                        | CUSIP: 31390REK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3202 | PA      | $3306.09        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 9 A12                     | CUSIP: 12544XAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       482063 | PA      | $225446.58      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-SD3                                                             | GSAMP TRUST GSAMP 2006 SD3 A 144A                          | CUSIP: 36244RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       438255 | PA      | $411584.79      | 0.00%             | 2046-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08835 FG 09/48 FIXED 3.5                | CUSIP: 3128MJ4V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32932813 | PA      | $30542954.15    | 0.02%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                                 | BEAR STEARNS ALT A TRUST BALTA 2005 10 22A1                | CUSIP: 07386HZE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8540106 | PA      | $8131003.20     | 0.00%             | 2036-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/29 6.298                     | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     73606000 | PA      | $78135102.31    | 0.04%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                          | ACHV ABS TRUST ACHV 2025 1PL A 144A                        | CUSIP: 00112MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5127204 | PA      | $5147199.77     | 0.00%             | 2032-04-26      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                                       | ENCINA PRIVATE CREDIT PFD PFD0 PFD0ENCN8                   | CUSIP: 934KZP905<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        24670 | NS      | $0.25           | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD3808 FN 04/40 FIXED 4.5                        | CUSIP: 31418RGS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          955 | PA      | $959.12         | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7106 FN 05/46 FIXED 3.5                        | CUSIP: 3138WG3Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11376 | PA      | $10659.12       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS2                                              | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS2 AI4           | CUSIP: 74924WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5176276 | PA      | $5076011.24     | 0.00%             | 2037-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY8994 FN 09/45 FIXED 3.5                        | CUSIP: 3138YN7G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28266 | PA      | $26588.14       | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6382 FN 10/27 FIXED 3.5                        | CUSIP: 31417DCU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40469 | PA      | $40006.37       | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D C 144A           | CUSIP: 78450PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8999000 | PA      | $9552137.93     | 0.00%             | 2053-09-15      | Fixed         | 7.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH9343 G2 07/48 FIXED 4                       | CUSIP: 3617H7LY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       471697 | PA      | $447176.60      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA1936 FR 05/26 FIXED 5                  | CUSIP: 31329KEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          154 | PA      | $153.39         | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BIG COMMERCIAL MORTGAGE TRUST 2022-BIG                                           | BIG COMMERCIAL MORTGAGE TRUST BIG 2022 BIG A 144A          | CUSIP: 05551UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2812618 | PA      | $2805490.14     | 0.00%             | 2039-02-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ5341 FN 11/26 FIXED 3.5                        | CUSIP: 3138AW5B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60192 | PA      | $59806.07       | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX0825 FN 09/44 FIXED 4                          | CUSIP: 3138Y14K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24863 | PA      | $23968.92       | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005-9                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 9 4A2             | CUSIP: 2254585V6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2986792 | PA      | $2533894.58     | 0.00%             | 2035-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/9.02000 12/23/24-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $4163269.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2835 FN 12/46 FIXED 4                          | CUSIP: 31418CEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6233 | PA      | $5995.81        | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-697922.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL5                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL5 B3 144A         | CUSIP: 52474TAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178635680 | PA      | $136036482.93   | 0.07%             | 2058-08-26      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL7                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL7 X 144A         | CUSIP: 12597AAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    639759592 | PA      | $63.98          | 0.00%             | 2059-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5179 FN 03/47 FIXED 4                          | CUSIP: 3140FQXH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       410996 | PA      | $393841.45      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV3616 FN 12/28 FIXED 3                          | CUSIP: 3138XFAS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        86414 | PA      | $85198.60       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1681 FN 10/53 FIXED 6.5                        | CUSIP: 3140A12P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40833 | PA      | $42515.70       | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-13767180.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-6                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2023 6 A1 144A               | CUSIP: 03464UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11736499 | PA      | $11862164.05    | 0.01%             | 2067-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2002-21A                                         | STRUCTURED ASSET SECURITIES CO SASC 2002 21A B1II          | CUSIP: 86359ACC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |            2 | PA      | $1.71           | 0.00%             | 2032-11-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55             | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    346518500 | PA      | $344251149.76   | 0.17%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-F                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 F 2A1             | CUSIP: 05946XYV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        83042 | PA      | $71259.14       | 0.00%             | 2035-09-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA4919 FR 03/51 FIXED 3                  | CUSIP: 3133KLPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21063 | PA      | $18680.17       | 0.00%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8552 FR 03/53 FIXED 5.5                | CUSIP: 3133BWQD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8189399 | PA      | $8306188.64     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6072 FN 11/44 FIXED VAR                        | CUSIP: 3138ENXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29898 | PA      | $29691.02       | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-RP2                                                             | RAAC SERIES RAAC 2006 RP2 M1 144A                          | CUSIP: 74919MAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2523915 | PA      | $2492914.76     | 0.00%             | 2037-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUS 2005-47CB                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 47CB A12         | CUSIP: 12668AAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1229921 | PA      | $638795.62      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D A1A 144A         | CUSIP: 78450PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68777967 | PA      | $72713882.80    | 0.04%             | 2053-09-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-D                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 D 1A1             | CUSIP: 05952GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7304956 | PA      | $6023296.25     | 0.00%             | 2047-06-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3770 FN 02/28 FIXED VAR                        | CUSIP: 3138ELFL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          395 | PA      | $391.65         | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 12/27 VAR                   | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     95300000 | PA      | $97702756.97    | 0.05%             | 2027-12-22      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB1 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB1 A1 144A             | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37941791 | PA      | $37366137.83    | 0.02%             | 2053-03-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                                  | REPUBLIC OF VENEZUELA SR UNSECURED REGS 03/38 7            | CUSIP: P97475AJ9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      8427500 | PA      | $1867534.00     | 0.00%             | 2038-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | CARVANA CO SR SECURED 144A 06/30 9                         | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    222864547 | PA      | $233329597.53   | 0.12%             | 2030-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A1           | CUSIP: 93364FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94483 | PA      | $86072.46       | 0.00%             | 2037-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88400 03/25/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2160882.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                     | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1112951 | PA      | $1108746.89     | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2024-INV1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2024 INV1 SA 144A         | CUSIP: 52475VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       369724 | PA      | $364156.84      | 0.00%             | 2053-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.15000 04/22/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4469503.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 01/30 VAR                   | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    177653000 | PA      | $181509752.47   | 0.09%             | 2030-01-27      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-67CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 67CB A1          | CUSIP: 12668AJ89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4033069 | PA      | $2968876.33     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R5                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R5 M1             | CUSIP: 03072SRX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5229 | PA      | $5215.31        | 0.00%             | 2034-07-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52541 FG 11/47 FIXED 3.5                | CUSIP: 3132XUZF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1465529 | PA      | $1364257.90     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51131 FG 10/47 FIXED 3.5                | CUSIP: 3132XTHH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1014053 | PA      | $947327.72      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA C 144A                       | CUSIP: ACI2QV525<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     46041000 | PA      | $61645100.18    | 0.03%             | 2055-05-28      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $4055874.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2666 FN 02/46 FIXED 3.5                        | CUSIP: 3140EW6C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       201847 | PA      | $189119.74      | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2714 FR 04/27 FIXED 3                  | CUSIP: 31329LAP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       182343 | PA      | $180816.04      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6373 FN 10/27 FIXED 3                          | CUSIP: 31417DCK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39376 | PA      | $38971.96       | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF12                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF12 A5            | CUSIP: 32027GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25759886 | PA      | $24075591.26    | 0.01%             | 2036-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-EMX2                                           | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX2 M1           | CUSIP: 75406AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3336198 | PA      | $3336721.52     | 0.00%             | 2036-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL1 TRUST                                                             | ATLX TRUST ATLX 2024 RPL1 A1 144A                          | CUSIP: 049915AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3164626 | PA      | $3073789.86     | 0.00%             | 2064-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5680 FR 01/53 FIXED 5.5                | CUSIP: 3133BTJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2890605 | PA      | $2928038.28     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1391 FN 01/27 FIXED VAR                        | CUSIP: 3138EHRM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          755 | PA      | $748.89         | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A2A            | CUSIP: 59024FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13131247 | PA      | $3539469.92     | 0.00%             | 2037-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55500 08/28/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $437940.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6795 FN 03/46 FIXED 4                          | CUSIP: 3138WGRR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7104 | PA      | $6837.88        | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9651 FN 06/28 FIXED 2.5                        | CUSIP: 31417GWM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6185 | PA      | $6076.93        | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q32667 FG 04/45 FIXED 3                  | CUSIP: 3132QN6D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       127750 | PA      | $116633.13      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-WMC1                                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 WMC1 M3          | CUSIP: 46626LBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3011458 | PA      | $2993705.90     | 0.00%             | 2035-09-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2378 FN 01/50 FIXED VAR                        | CUSIP: 3140X5UC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       107708 | PA      | $106274.34      | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0538 FN 10/30 FIXED 4.5                        | CUSIP: 31417YS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14693 | PA      | $14779.10       | 0.00%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.53700 07/24/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-10168928.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3856 FN 06/46 FIXED 3.5                        | CUSIP: 3140FBJA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18864 | PA      | $17705.23       | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.85400 12/29/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1752168.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 1A1             | CUSIP: 00703QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1418845 | PA      | $1225066.88     | 0.00%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M3                                                    | ARGENT SECURITIES INC. ARSI 2006 M3 A2B                    | CUSIP: 03076MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7154370 | PA      | $2120325.61     | 0.00%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| TIAA CLO IV LTD 2018-1A                                                          | TIAA CLO LTD TIA 2018 1A A1AR 144A                         | CUSIP: 88631YAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14889086 | PA      | $14900075.76    | 0.01%             | 2032-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XI 2012-11A                                                           | APIDOS CLO LTD APID 2012 11A AR4 144A                      | CUSIP: 03763YBY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     86100000 | PA      | $86228183.96    | 0.04%             | 2034-04-17      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AR4                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR4 A2            | CUSIP: 25150PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2909638 | PA      | $920501.63      | 0.00%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/44 3.625                                | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    494809000 | PA      | $429652704.27   | 0.21%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.6* 09/24/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $20507918.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL5                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL5 B2 144A        | CUSIP: 12655JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143652350 | PA      | $119572481.18   | 0.06%             | 2076-11-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                              | CAPE LOOKOUT RE LTD UNSECURED 144A 03/32 VAR               | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     42300000 | PA      | $44469990.00    | 0.02%             | 2032-03-13      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-J                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 J 1A2            | CUSIP: 05948XXX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30268 | PA      | $29762.82       | 0.00%             | 2033-11-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.13000 05/03/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4193009.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 B 144A        | CUSIP: 17329AAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108965192 | PA      | $82725600.11    | 0.04%             | 2060-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                                    | PURPLE RE LTD UNSECURED 144A 06/27 VAR                     | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     20100000 | PA      | $21348210.00    | 0.01%             | 2027-06-07      | Floating      | 13.09%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA12                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA12 CB3          | CUSIP: 761118NA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       885070 | PA      | $815844.13      | 0.00%             | 2035-12-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX MAIN43 5Y ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $25204322.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT1 M1           | CUSIP: 83611MLS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       920005 | PA      | $823104.79      | 0.00%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN                                                            | FANNIEMAE WHOLE LOAN FNW 1998 W2 A8                        | CUSIP: 31359UPD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1451 | PA      | $1464.09        | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-1F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 1F 4A1                    | CUSIP: 36242DVK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32183 | PA      | $30061.24       | 0.00%             | 2035-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-97643.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $668486.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 08/40 5.35                 | CUSIP: ACI1H2BH1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     24900000 | PA      | $6365544.56     | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                       | ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN     | CUSIP: 949ABFII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    736334539 | PA      | $758424575.10   | 0.37%             | 2028-09-15      | Fixed         | 12.23%                | No            |                  3 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS11                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS11 1A1          | CUSIP: 75115EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8819776 | PA      | $7241458.24     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-11AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 11AR 2A5           | CUSIP: 61754VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10588031 | PA      | $5460870.19     | 0.00%             | 2037-06-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL1 A1IO 144A       | CUSIP: 52474BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52830760 | PA      | $430937.86      | 0.00%             | 2057-12-26      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR9 TRUST                                             | PROGRESS RESIDENTIAL TRUST PROG 2021 SFR9 A 144A           | CUSIP: 74333QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6012354 | PA      | $5631331.13     | 0.00%             | 2040-11-17      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-18                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 18 A6                     | CUSIP: 126694EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1097599 | PA      | $480990.09      | 0.00%             | 2035-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 781890 FH 09/34 FLOATING VAR             | CUSIP: 31349TC33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21123 | PA      | $21624.55       | 0.00%             | 2034-09-01      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-82                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 82 A1            | CUSIP: 12668A5X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1851040 | PA      | $1594235.26     | 0.00%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0833 FN 12/47 FIXED 3.5                        | CUSIP: 3140Q74T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34866 | PA      | $32416.49       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                              | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A4            | CUSIP: 57643GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6074159 | PA      | $3636806.87     | 0.00%             | 2036-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.08000 04/17/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3805120.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                                     | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 11.5        | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |      7938987 | PA      | $8313191.15     | 0.00%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55016 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $137340.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-5                                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 5 1A11            | CUSIP: 05950NAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       629719 | PA      | $539427.75      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2020-R2                                                                | CIM TRUST CIM 2020 R2 B1 144A                              | CUSIP: 12558WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17191000 | PA      | $12978952.29    | 0.01%             | 2059-10-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-27598.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5600 FN 12/47 FIXED 4                          | CUSIP: 3140H7GJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76920 | PA      | $74065.92       | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL12                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP12 B3 144A        | CUSIP: 12655FAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236027865 | PA      | $102683096.63   | 0.05%             | 2060-10-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2005 1 M6                   | CUSIP: 66987XGK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20317460 | PA      | $20203496.99    | 0.01%             | 2035-06-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $25555326.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                             | EVERGLADES RE II LTD SR UNSECURED 144A 05/31 VAR           | CUSIP: 30014LAN4<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     48900000 | PA      | $51540600.00    | 0.03%             | 2031-05-13      | Floating      | 15.46%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251031                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $5364.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-2                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 2 1CB1            | CUSIP: 05948K2V0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1018621 | PA      | $948504.24      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF4             | CUSIP: 75970JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2781357 | PA      | $732029.54      | 0.00%             | 2037-04-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC5                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC5 M5               | CUSIP: 61744CRV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1009728 | PA      | $1008414.54     | 0.00%             | 2035-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-3308809.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL1                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL1 A7            | CUSIP: 760985W80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34740 | PA      | $30205.88       | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 1B2 144A       | CUSIP: 12597GAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60998550 | PA      | $50730621.38    | 0.03%             | 2059-04-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 304                                                           | FREDDIEMAC STRIP FHS 304 C22                               | CUSIP: 31325UPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3184375 | PA      | $491633.14      | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q42970 FG 09/46 FIXED 3                  | CUSIP: 3132WGJQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       165209 | PA      | $149585.42      | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-17CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 17CB 1A1         | CUSIP: 12667FNW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1005850 | PA      | $957397.99      | 0.00%             | 2034-09-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                     | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7749563 | PA      | $7660790.21     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-A                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 A A1                 | CUSIP: 59020UTB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33610 | PA      | $32354.11       | 0.00%             | 2030-03-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-AC7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AC7 A4           | CUSIP: 073879T57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4460156 | PA      | $2702206.17     | 0.00%             | 2035-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2024-4                              | AMERICAN CREDIT ACCEPTANCE REC ACAR 2024 4 A 144A          | CUSIP: 024945AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3487921 | PA      | $3490677.73     | 0.00%             | 2028-03-13      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-9                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 9 5A5            | CUSIP: 93934FFF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       296385 | PA      | $242372.56      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $239777.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 5 1M2                  | CUSIP: 07386HUD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1578691 | PA      | $1566174.26     | 0.00%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 11/28 3.45                          | CUSIP: 097023CA1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      4404000 | PA      | $4310542.85     | 0.00%             | 2028-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-16                                                               | FANNIE MAE FNR 2010 16 EZ                                  | CUSIP: 31398MSG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       409163 | PA      | $408341.83      | 0.00%             | 2040-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20251120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $13671.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS10                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS10 M3           | CUSIP: 75405WAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       223703 | PA      | $218931.60      | 0.00%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-HY9                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY9 A2           | CUSIP: 02152BAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41686587 | PA      | $36622283.55    | 0.02%             | 2047-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7702 FN 02/53 FIXED 6.5                        | CUSIP: 3140NCRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       215088 | PA      | $223928.91      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8016 FR 11/34 FIXED 3                  | CUSIP: 3132D53Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65690 | PA      | $63695.42       | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8501 FR 01/55 FIXED 7                  | CUSIP: 3132DWNS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4729787 | PA      | $4956602.27     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO XIV DAC 14A                                                   | HAYFIN EMERALD CLO HAYEM 14A A 144A                        | CUSIP: ACI2SSWQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     85000000 | PA      | $100055328.31   | 0.05%             | 2039-01-22      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-10                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2024 10 A11 144A            | CUSIP: 46658LAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52037321 | PA      | $51970239.78    | 0.03%             | 2055-03-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-680121.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-18CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 18CB A7          | CUSIP: 02147FAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13349565 | PA      | $5005070.80     | 0.00%             | 2036-07-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2006-AA2                                                          | BCAP LLC TRUST BCAP 2006 AA2 A1                            | CUSIP: 05530MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       240814 | PA      | $225239.76      | 0.00%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $2891404.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175OQ913 PIMCO CAP USD 0.02224 USD SOFR COMPO             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -605500000 | NC      | $-9336628.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8902 FN 05/49 FIXED 3.5                        | CUSIP: 3140JR3L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1306996 | PA      | $1210303.05     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1                  | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29656 | PA      | $28086.85       | 0.00%             | 2034-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7086 FN 01/47 FIXED 4.5                        | CUSIP: 3140FS2U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48147 | PA      | $47585.28       | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                                   | FREMONT HOME LOAN TRUST FHLT 2006 B 2A2                    | CUSIP: 35729QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4578222 | PA      | $1429600.76     | 0.00%             | 2036-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-9                                                    | GSAA HOME EQUITY TRUST GSAA 2006 9 A2                      | CUSIP: 362382AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58743531 | PA      | $10890269.33    | 0.01%             | 2036-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-B TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 B D               | CUSIP: 83407KAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15200000 | PA      | $15393497.82    | 0.01%             | 2034-06-15      | Fixed         | 5.59%                 | No            |                  3 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA D 144A                       | CUSIP: ACI2N0NG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     36945000 | PA      | $49460369.05    | 0.02%             | 2054-05-28      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A2            | CUSIP: 61754HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50537372 | PA      | $13362788.65    | 0.01%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-3                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 3 M1             | CUSIP: 69121PDZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9242229 | PA      | $9664251.63     | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-AM2                                     | MASTR ASSET BACKED SECURITIES MABS 2006 AM2 A4 144A        | CUSIP: 57645FAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1458184 | PA      | $1367808.20     | 0.00%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 614256 FN 12/31 FIXED 6.5                        | CUSIP: 31388TMD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1382 | PA      | $1432.82        | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES VIII LTD / PREFERRED TERM SECURITIES VIII INC          | PREFERRED TERM SECS VIII SR SECURED 144A 01/33 VAR         | CUSIP: 74041PAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      3763259 | PA      | $3744443.07     | 0.00%             | 2033-01-03      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2003-BC5                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 BC5 2A2            | CUSIP: 126671K62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       324181 | PA      | $324497.72      | 0.00%             | 2033-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA ROMANIA                                            | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     98100000 | PA      | $110258727.89   | 0.05%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD1073 FN 06/46 FIXED 3.5                        | CUSIP: 3140F8FP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       118605 | PA      | $111223.85      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 05/35 1                                            | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      8600000 | PA      | $9012491.95     | 0.00%             | 2035-05-30      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55000 05/13/24-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $10837353.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STEELE CREEK CLO LTD 2018-1A                                                     | STEELE CREEK CLO LTD STCR 2018 1A A 144A                   | CUSIP: 85815CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5532004 | PA      | $5537259.74     | 0.00%             | 2031-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0487 FN 10/47 FIXED 3.5                        | CUSIP: 3140Q7RH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       149531 | PA      | $139127.63      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892617 FN 09/36 FIXED 6.5                        | CUSIP: 31410NVJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7125 | PA      | $7453.67        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2032 FR 11/27 FIXED 6                  | CUSIP: 31329KHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14223 | PA      | $14529.27       | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2004-2                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 2 A2              | CUSIP: 004375AX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1422834 | PA      | $1443691.26     | 0.00%             | 2034-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-SJ1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2025 SJ1 PT 144A       | CUSIP: 36273PAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94559511 | PA      | $89681980.06    | 0.04%             | 2071-08-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8935 FN 06/49 FIXED 3.5                        | CUSIP: 3140JR4V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4542671 | PA      | $4201871.36     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6198 FN 09/27 FIXED 3                          | CUSIP: 31417C3G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14644 | PA      | $14495.93       | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR2 1A1           | CUSIP: 92925CDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1193142 | PA      | $1081732.01     | 0.00%             | 2036-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO X DAC 10A                                                     | HAYFIN EMERALD CLO HAYEM 10A ARR 144A                      | CUSIP: ACI2ZWCP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     55000000 | PA      | $64676877.78    | 0.03%             | 2039-10-18      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL10                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP10 B3 144A        | CUSIP: 12655BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120738900 | PA      | $72569246.25    | 0.04%             | 2057-09-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-B                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 2A1            | CUSIP: 05950TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10314 | PA      | $9187.03        | 0.00%             | 2046-11-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-0.04          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1126008.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRUST 2006-W1                     | STRUCTURED ASSET SECURITIES CO SASC 2006 W1A A5 144A       | CUSIP: 86361CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3086210 | PA      | $2849064.57     | 0.00%             | 2046-08-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5676 FN 04/55 FIXED 7                          | CUSIP: 31418FJW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    125000028 | PA      | $130847752.54   | 0.06%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-22                                                        | FANNIE MAE FNR 2007 22 SW                                  | CUSIP: 31396PT92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       484859 | PA      | $47705.90       | 0.00%             | 2037-03-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251021                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $21522.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7602 FN 07/46 FIXED 4                          | CUSIP: 3138WHNU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18947 | PA      | $18226.65       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH0469 FN 06/47 FIXED 4                          | CUSIP: 3140GNQX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       406475 | PA      | $391735.02      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-7                                                   | LUMINENT MORTGAGE TRUST LUM 2006 7 2A1                     | CUSIP: 55028BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7864908 | PA      | $6915912.30     | 0.00%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $87626.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-70                                                               | FANNIE MAE FNR 2002 70 QZ                                  | CUSIP: 31392FCA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       864981 | PA      | $887650.78      | 0.00%             | 2032-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD8454 FN 04/55 FIXED 7                          | CUSIP: 3140B9MC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11569514 | PA      | $12195239.43    | 0.01%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB4                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB4 AA           | CUSIP: 17307GMC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       233661 | PA      | $223311.13      | 0.00%             | 2034-12-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-2X                                                 | GREAT HALL MORTGAGES PLC GHM 2007 2X BA REGS               | CUSIP: B1Z97XII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     22102446 | PA      | $29551673.14    | 0.01%             | 2039-06-18      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H2 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H2 A1 144A                 | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23561155 | PA      | $23829695.23    | 0.01%             | 2069-04-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| MONTANA FINANCE DAC                                                              | ANDRE 0 01/31/26                                           | CUSIP: 990AAKMU5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     26693286 | PA      | $31339270.60    | 0.02%             | 2026-01-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2C               | CUSIP: 61749NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25759968 | PA      | $12944301.68    | 0.01%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3028.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO 2003-37A                                          | STRUCTURED ASSET SECURITIES CO SASC 2003 37A 7A            | CUSIP: 86359BCK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       746248 | PA      | $725880.44      | 0.00%             | 2033-12-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| NRPL-2024-RPL2                                                                   | NRPL TRUST SERIES NRPL 2024 RPL2 SA 144A                   | CUSIP: 62956GAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       100855 | PA      | $99479.38       | 0.00%             | 2063-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8199 G2 08/52 FIXED 3.5                     | CUSIP: 36179XDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1944015 | PA      | $1780385.12     | 0.00%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.3275 04/05/24-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-25358607.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 B3 144A      | CUSIP: 36263MCF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4218929 | PA      | $3677831.81     | 0.00%             | 2052-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                          | COREWEAVE CMPTE ACQU CO II LLC 2024 DELAYED DRAW TERM LOAN | CUSIP: BA0004JK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      7300000 | PA      | $7511090.16     | 0.00%             | 2029-05-30      | Floating      | 6.78%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB8498 FN 07/54 FIXED 7                          | CUSIP: 3140AJNQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999900 | PA      | $1049125.92     | 0.00%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-4                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 4 A3              | CUSIP: 05950FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14960 | PA      | $11042.25       | 0.00%             | 2036-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AR5                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR5 1A2           | CUSIP: 25150NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12918308 | PA      | $3536758.93     | 0.00%             | 2036-10-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-1                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 1 1A14            | CUSIP: 05951FBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2024308 | PA      | $1730595.51     | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A A2 144A            | CUSIP: 37989AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4968068 | PA      | $4974069.75     | 0.00%             | 2027-08-16      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-9039544.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/28 0.5                                  | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      6136739 | PA      | $6066842.88     | 0.00%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0804 FN 12/46 FIXED 3.5                        | CUSIP: 3140FK3N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37024 | PA      | $34522.64       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3908                                                          | FREDDIE MAC FHR 3908 XS                                    | CUSIP: 3137AE3P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       393214 | PA      | $44287.28       | 0.00%             | 2039-06-15      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS4X                                                    | RMAC SECURITIES PLC RMACS 2006 NS4X A3A REGS               | CUSIP: 991ZHMII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     31900785 | PA      | $41948637.47    | 0.02%             | 2044-06-12      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                            | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A1            | CUSIP: 57645MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50468802 | PA      | $19228038.32    | 0.01%             | 2036-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4652 FR 02/46 FIXED 4                  | CUSIP: 3132A5EZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9110 | PA      | $8694.16        | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE1                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M2              | CUSIP: 65536HCT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2160739 | PA      | $2024149.80     | 0.00%             | 2036-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-4                                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 4A B3 144A         | CUSIP: 64830WBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14479157 | PA      | $14201947.77    | 0.01%             | 2058-12-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4696 FR 12/46 FIXED 2.5                | CUSIP: 3132A5GD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125048 | PA      | $108570.67      | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $459739.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-2A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 2A A3 144A               | CUSIP: 16144CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148000000 | PA      | $150219526.40   | 0.07%             | 2029-06-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FE             | CUSIP: 38375UWT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4238135 | PA      | $4251296.17     | 0.00%             | 2066-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-2                               | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 2 1A              | CUSIP: 31659EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13555741 | PA      | $10383483.20    | 0.01%             | 2036-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 2A2            | CUSIP: 07387AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       326716 | PA      | $300919.76      | 0.00%             | 2035-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-INV1                                                        | NEW YORK MORTGAGE TRUST NYMT 2024 INV1 A1 144A             | CUSIP: 62956XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19984076 | PA      | $20077805.09    | 0.01%             | 2069-06-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3             | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     29811000 | PA      | $30380777.64    | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2D               | CUSIP: 61750MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3455723 | PA      | $1489843.31     | 0.00%             | 2036-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1772 FN 11/25 FIXED 3                          | CUSIP: 31416W6J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          440 | PA      | $438.53         | 0.00%             | 2025-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 946318 FN 09/37 FIXED 6.5                        | CUSIP: 31413HYP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          127 | PA      | $132.16         | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1+24/8.1*12/22/25-12Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $214681.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.37000 06/21/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-7613323.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB4                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB4 2A1                  | CUSIP: 12669GM24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3045122 | PA      | $2876859.02     | 0.00%             | 2035-08-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-14                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 14 4A1A          | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1358628 | PA      | $671488.60      | 0.00%             | 2035-12-19      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5616 FN 01/53 FIXED 6                          | CUSIP: 3140NAG23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37900 | PA      | $39029.40       | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $801697.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG43 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $334730.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC3                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC3 2A3          | CUSIP: 021464AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3156250 | PA      | $2744997.20     | 0.00%             | 2036-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/28 2.75       | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     40800000 | PA      | $38313297.12    | 0.02%             | 2028-03-09      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-885790.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A3 144A         | CUSIP: 39571MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8400000 | PA      | $8620157.28     | 0.00%             | 2059-06-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-J1                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A3           | CUSIP: 02149MAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1215384 | PA      | $449999.17      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FM1 A2C           | CUSIP: 59021AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9201728 | PA      | $4327799.78     | 0.00%             | 2037-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0133 FN 08/47 FIXED 4                          | CUSIP: 3140Q7EF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2102053 | PA      | $2022101.18     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2C               | CUSIP: 61753VAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28634947 | PA      | $9077813.75     | 0.00%             | 2037-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA3033 FR 10/38 FIXED 4                  | CUSIP: 31329LLN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53021 | PA      | $52181.42       | 0.00%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 781867 FH 08/34 FLOATING VAR             | CUSIP: 31349TCC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          676 | PA      | $688.76         | 0.00%             | 2034-08-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.58000 08/29/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $259126.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60243 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-297635.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4650 FN 03/47 FIXED 4                          | CUSIP: 3140FQEY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       348468 | PA      | $335614.57      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-21068.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95              | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1416480000 | PA      | $451867747.53   | 0.22%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3360 FN 05/38 FIXED 3.5                        | CUSIP: 31418CWW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        90015 | PA      | $86790.57       | 0.00%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A D 144A         | CUSIP: 21056DAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7698197 | PA      | $8021397.60     | 0.00%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BC3024 GN 02/48 FIXED 3.5                        | CUSIP: 3617B6LD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51823 | PA      | $48469.59       | 0.00%             | 2048-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MFA 2021-RPL1 TRUST                                                              | MFRA TRUST MFRA 2021 RPL1 M2 144A                          | CUSIP: 55283QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5200000 | PA      | $4366443.64     | 0.00%             | 2060-07-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                               | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A3 144A           | CUSIP: 30336CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16800000 | PA      | $17022505.92    | 0.01%             | 2029-04-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6844 FN 03/46 FIXED 4                          | CUSIP: 3138WGTA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2321411 | PA      | $2234098.76     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2006-QO7                                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO7 3A2           | CUSIP: 751150AH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1767514 | PA      | $1744046.00     | 0.00%             | 2046-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6752 FN 02/46 FIXED 3.5                        | CUSIP: 3138WGQE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9600 | PA      | $9019.75        | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 1A3                 | CUSIP: 466247WK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24385 | PA      | $23624.80       | 0.00%             | 2035-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-3                                                   | FREMONT HOME LOAN TRUST FHLT 2004 3 M2                     | CUSIP: 35729PFM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3877313 | PA      | $3711080.76     | 0.00%             | 2034-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $518188.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 7/12/23-9Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5042408.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM4                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM4 A2A           | CUSIP: 81377XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       135505 | PA      | $37534.54       | 0.00%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5157 FN 02/47 FIXED 4                          | CUSIP: 3140FQWT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       600845 | PA      | $575662.35      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS REAL ESTATE CAPITAL TRUST 2006-1                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 1 A4              | CUSIP: 61749QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24244527 | PA      | $9542519.85     | 0.00%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                               | FANNIE MAE FNR 2004 11 A                                   | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1187 | PA      | $1185.12        | 0.00%             | 2034-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2                 | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84696 | PA      | $81394.52       | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |            1 | NC      | $93691.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52843 FG 12/47 FIXED 3.5                | CUSIP: 3132XVER0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       338963 | PA      | $317274.49      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M3           | CUSIP: 17313CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6302000 | PA      | $5844121.89     | 0.00%             | 2037-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS2X                                                    | RMAC SECURITIES PLC RMACS 2006 NS2X A2A REGS               | CUSIP: 990XQGII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       595823 | PA      | $783327.74      | 0.00%             | 2044-06-12      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7994 FN 11/26 FIXED VAR                        | CUSIP: 3138EQ3C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1530 | PA      | $1524.55        | 0.00%             | 2026-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2021-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 21 1A EETC PASS THRU CE 01/36 2.875           | CUSIP: 02379KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     24913783 | PA      | $22621341.04    | 0.01%             | 2036-01-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2147 FN 05/47 FIXED 4                          | CUSIP: 3140GQL53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74096 | PA      | $71009.38       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KINBANE 2024-RPL 2 DAC  24-RPL2A                                                 | KINBANE DAC KINBN 2024 RPL2A A 144A                        | CUSIP: ACI2S5NF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     61265609 | PA      | $72142758.78    | 0.04%             | 2063-01-24      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-NEMA                           | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 NEMA A 144A       | CUSIP: 63874RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34500000 | PA      | $32332651.35    | 0.02%             | 2039-02-15      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.65000 04/12/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-3333002.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3063 FN 01/28 FIXED VAR                        | CUSIP: 3138EKMM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8348 | PA      | $8294.26        | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY8988 FN 08/53 FIXED 6                          | CUSIP: 3140NR7A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       899890 | PA      | $924454.12      | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $28800379.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-15                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 15 1A1A          | CUSIP: 41161PXF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5816560 | PA      | $4080277.19     | 0.00%             | 2045-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $3444950.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2025-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2025 A A2 144A         | CUSIP: 706916AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10600000 | PA      | $10610859.70    | 0.01%             | 2028-09-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7948 FN 07/43 FIXED 4                          | CUSIP: 3138WVZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       616217 | PA      | $599210.18      | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE2                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE2 A3           | CUSIP: 93934JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8531688 | PA      | $6703918.67     | 0.00%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3733 FN 08/46 FIXED 3.5                        | CUSIP: 3140FBEF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       139745 | PA      | $130300.40      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $551629.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A          | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12818562 | PA      | $12896358.15    | 0.01%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1580631.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SEC INC 2006-3                                                 | CITICORP MORTGAGE SECURITIES, CMSI 2006 3 1A9              | CUSIP: 17310BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        74733 | PA      | $67988.72       | 0.00%             | 2036-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440                   | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 A 144A      | CUSIP: 46653DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4616555.00     | 0.00%             | 2036-03-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX0527 FN 09/52 FIXED 4                          | CUSIP: 3140N4SR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1331260 | PA      | $1256926.39     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/21/23-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6657340.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.59900 08/28/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $62873.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2014-3R                                             | GS MORTGAGE SECURITIES CORP. GSMSC 2014 3R 1B 144A         | CUSIP: 36249XAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12247839 | PA      | $6697907.12     | 0.00%             | 2036-11-26      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-NC1                                                     | ACE SECURITIES CORP. ACE 2003 NC1 M1                       | CUSIP: 004421CQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1235332 | PA      | $1185292.71     | 0.00%             | 2033-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-2                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 2 A2D            | CUSIP: 59024QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14775176 | PA      | $10873603.25    | 0.01%             | 2037-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3240 FN 01/48 FIXED 4.5                        | CUSIP: 31418CS62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5763 | PA      | $5678.09        | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-26A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 26A 1A            | CUSIP: 86359AS20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        73562 | PA      | $59639.40       | 0.00%             | 2033-09-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5                | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2801398 | PA      | $2688839.70     | 0.00%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB7                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB7 A1           | CUSIP: 12479DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10234256 | PA      | $7426417.39     | 0.00%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1                  | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1980803 | PA      | $893865.48      | 0.00%             | 2036-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HY10                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HY10 3A1A                 | CUSIP: 126694VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2378436 | PA      | $2099397.24     | 0.00%             | 2036-02-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005 8                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 8 1A2             | CUSIP: 225458W95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       403198 | PA      | $311741.67      | 0.00%             | 2035-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-A                                                    | OPORTUN FUNDING LLC OPTN 2025 A A 144A                     | CUSIP: 68377TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19800000 | PA      | $19830915.72    | 0.01%             | 2033-02-08      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $169279.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| APIDOS CLO XXIV 2016-24A                                                         | APIDOS CLO LTD APID 2016 24A A1AL 144A                     | CUSIP: 03759CAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1022823 | PA      | $1024024.71     | 0.00%             | 2030-10-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831646 FN 08/26 FIXED 6.5                        | CUSIP: 31407H5F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2770 | PA      | $2858.79        | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7A           | CUSIP: 576433WL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        93845 | PA      | $90720.21       | 0.00%             | 2034-11-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0808 FN 05/40 FIXED VAR                        | CUSIP: 3138EG3S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1509 | PA      | $1599.33        | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-52CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 52CB 1A2         | CUSIP: 12668AFX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2125324 | PA      | $154573.14      | 0.00%             | 2035-11-25      | Floating      | 0.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.38000 08/04/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1623649.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                    | ARGENT SECURITIES INC. ARSI 2006 M1 A2B                    | CUSIP: 04012MAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7850522 | PA      | $2137468.58     | 0.00%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.25622 04/03/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-32166637.73   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7921 FN 04/46 FIXED 4.5                        | CUSIP: 3140F3YT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11066 | PA      | $10910.87       | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG6105 G2 05/48 FIXED 4                       | CUSIP: 3617GQYA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       548235 | PA      | $519215.07      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $540875.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $1277239.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                                    | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 15A A1R 144A         | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     64912580 | PA      | $64993720.35    | 0.03%             | 2032-10-23      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 7A1                 | CUSIP: 46628KAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62584 | PA      | $61230.85       | 0.00%             | 2035-04-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB5                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB5 A4           | CUSIP: 81376WAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15374940 | PA      | $10479022.33    | 0.01%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED 144A 09/43 5.875           | CUSIP: 78307ADH3<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     18800000 | PA      | $12867472.00    | 0.01%             | 2043-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 AIOS 144A      | CUSIP: 12660QAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226420612 | PA      | $3640707.59     | 0.00%             | 2061-02-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2023-A                                                     | SBNA AUTO LEASE TRUST SBALT 2023 A A4 144A                 | CUSIP: 78436TAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16200000 | PA      | $16412628.24    | 0.01%             | 2028-04-20      | Fixed         | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0477 FH 05/35 FLOATING VAR             | CUSIP: 3128NCQ64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8606 | PA      | $8705.90        | 0.00%             | 2035-05-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8468 FR 03/53 FIXED 6                  | CUSIP: 3133BWMR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3880159 | PA      | $3980967.02     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM42 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1260897.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080031 G2 01/27 FLOATING VAR                  | CUSIP: 36225CA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          176 | PA      | $175.60         | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-3 TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 3 A 144A          | CUSIP: 83390JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72600000 | PA      | $72768315.84    | 0.04%             | 2034-08-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3742 FN 08/39 FIXED 3.5                        | CUSIP: 31418DEQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       411238 | PA      | $395320.29      | 0.00%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE P/T CERTIFICATES 2007-OA1                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA1 A1A           | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11537167 | PA      | $10685028.13    | 0.01%             | 2047-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 4A1          | CUSIP: 939355AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4242575 | PA      | $3524483.49     | 0.00%             | 2047-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN1374 FR 01/35 FIXED 3                  | CUSIP: 3133G7Q30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49467 | PA      | $47964.46       | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.58600 08/19/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $282659.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1          | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3235795 | PA      | $3026336.13     | 0.00%             | 2046-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2634 FR 05/53 FIXED 5                  | CUSIP: 3133C24T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       566156 | PA      | $565311.04      | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12                             | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE12 M3          | CUSIP: 0738795S3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1835390 | PA      | $1835418.35     | 0.00%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/54 4.25                                 | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    338200000 | PA      | $312306562.50   | 0.15%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB1                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF2          | CUSIP: 1248MGAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19348462 | PA      | $5399199.99     | 0.00%             | 2037-01-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL7                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL7 B1 144A        | CUSIP: 12597AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118732900 | PA      | $108989345.77   | 0.05%             | 2059-01-27      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-364654.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 932349 FN 01/30 FIXED 5                          | CUSIP: 31412QZN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2404 | PA      | $2425.98        | 0.00%             | 2030-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-B                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 B PT 144A         | CUSIP: 17327MAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205493194 | PA      | $180754833.88   | 0.09%             | 2082-01-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-9.64          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2841 FN 12/36 FIXED 2.5                        | CUSIP: 31418CEP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14585 | PA      | $13566.77       | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H8 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H8 A1 144A                 | CUSIP: 22757GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16323320 | PA      | $16453653.97    | 0.01%             | 2069-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM8 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM8 A1 144A             | CUSIP: 67119CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18420875 | PA      | $18692616.44    | 0.01%             | 2064-05-25      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 2A1           | CUSIP: 45661EGE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18605933 | PA      | $12731902.25    | 0.01%             | 2036-06-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1956 FN 03/48 FIXED 4                          | CUSIP: 3140HFE62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4607864 | PA      | $4420022.76     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH4787 G2 07/48 FIXED 4                       | CUSIP: 3617H2J89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       763339 | PA      | $723172.46      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRKCM 2024-HOME1 TRUST                                                           | PRKCM TRUST PRKCM 2024 HOME1 A1 144A                       | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       703116 | PA      | $714357.84      | 0.00%             | 2059-05-25      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1481 FN 03/27 FIXED VAR                        | CUSIP: 3138EHUF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49319 | PA      | $48849.31       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                                | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A         | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8700000 | PA      | $8402998.70     | 0.00%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE1 M4            | CUSIP: 17307G4Z8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1788015 | PA      | $1791415.10     | 0.00%             | 2036-01-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3148 FN 10/47 FIXED 3.5                        | CUSIP: 31418CQA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       817233 | PA      | $762567.35      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0251 FN 04/48 FIXED 3.5                        | CUSIP: 3140HDH56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       200790 | PA      | $185862.69      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2004-3                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2004 3 2A               | CUSIP: 02660TBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       506958 | PA      | $502973.67      | 0.00%             | 2034-10-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.95000 12/19/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2475943.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4504 FN 02/30 FIXED 3                          | CUSIP: 3138WEAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1530442 | PA      | $1503295.60     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 09/31 VAR                                 | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     57047000 | PA      | $54091740.63    | 0.03%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP1 PT 144A       | CUSIP: 17291JAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420752368 | PA      | $343802524.14   | 0.17%             | 2068-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MF5             | CUSIP: 126673JG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       991019 | PA      | $703328.01      | 0.00%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AR3                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR3 2A4           | CUSIP: 25150VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32332891 | PA      | $27957462.12    | 0.01%             | 2037-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                     | DELOITTE LLP SR UNSEC A                                    | CUSIP: 958XFEII6<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |     37300000 | PA      | $38185620.61    | 0.02%             | 2030-01-30      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9977 FN 06/42 FIXED 4                          | CUSIP: 3138E3CP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46581 | PA      | $45329.46       | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC2 2A3          | CUSIP: 12668BRG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5038332 | PA      | $4686863.37     | 0.00%             | 2036-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A AR 144A                          | CUSIP: ACI1746Q4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     85589810 | PA      | $99361320.84    | 0.05%             | 2054-10-29      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9665 G2 05/54 FIXED 4                       | CUSIP: 36179YW26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39342779 | PA      | $37163257.58    | 0.02%             | 2054-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS2                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS2 M5            | CUSIP: 76112BKF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5357908 | PA      | $5346530.89     | 0.00%             | 2035-02-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 B2 144A      | CUSIP: 36263MCE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7452771 | PA      | $6496919.19     | 0.00%             | 2052-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3384                                                                 | FREDDIE MAC FHR 3384 SH                                    | CUSIP: 31397PCV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3372970 | PA      | $329683.19      | 0.00%             | 2037-11-15      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A8                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A8 1A3            | CUSIP: 761128AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       632774 | PA      | $295292.36      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2006-3                                                     | TERWIN MORTGAGE TRUST TMTS 2006 3 1A3 144A                 | CUSIP: 881561T79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12682314 | PA      | $12380407.66    | 0.01%             | 2037-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE2                                               | MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A4             | CUSIP: 57644UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3723773 | PA      | $1267910.05     | 0.00%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5722 FN 09/45 FIXED 3.5                        | CUSIP: 3138WFLC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4331 | PA      | $4073.84        | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-1                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 1 2A1                | CUSIP: 59020U4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1024723 | PA      | $1008511.90     | 0.00%             | 2036-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A G 144A              | CUSIP: ACI2PMHL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10347163 | PA      | $13895084.54    | 0.01%             | 2048-06-20      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6093 FN 09/53 FIXED 6.5                        | CUSIP: 3140NNXX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       468056 | PA      | $484842.47      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA2 1A            | CUSIP: 933635AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13956263 | PA      | $12373088.33    | 0.01%             | 2047-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 24A1          | CUSIP: 86360KAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       149091 | PA      | $28979.19       | 0.00%             | 2036-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-36                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 36 2A1A          | CUSIP: 12667GWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       481065 | PA      | $444392.61      | 0.00%             | 2035-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P5                                      | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 P5 XA             | CUSIP: 17325DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258253504 | PA      | $1474162.65     | 0.00%             | 2049-10-10      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2005-D                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2005 D M1             | CUSIP: 456606JP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14412927 | PA      | $13647502.33    | 0.01%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2930 FN 03/47 FIXED 4                          | CUSIP: 31418CHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18044560 | PA      | $17358311.75    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB10            | CUSIP: 05950BAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19783 | PA      | $16092.13       | 0.00%             | 2046-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9972 FN 07/47 FIXED 4                          | CUSIP: 3138WLCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20213 | PA      | $19444.38       | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24806353000 | PA      | $25652891377.65 | 12.66%            | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9831 FN 06/47 FIXED 4                          | CUSIP: 3138WK4R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3591171 | PA      | $3454220.26     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS6                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS6 M6            | CUSIP: 76112BTX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2100000 | PA      | $2059452.78     | 0.00%             | 2035-06-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB5                     | CREDIT BASED ASSET SERVICING A CBASS 2004 CB5 M1           | CUSIP: 04542BHY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       790188 | PA      | $864491.81      | 0.00%             | 2034-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-2742285.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS15                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS16 A9           | CUSIP: 761118MJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1774570 | PA      | $1469471.96     | 0.00%             | 2035-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR             | CUSIP: 903724CB6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      6422799 | PA      | $3548596.45     | 0.00%             | 2035-02-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 2A1           | CUSIP: 92925VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5632316 | PA      | $5221583.77     | 0.00%             | 2037-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0TIA8 PIMCO FPPSWAPTION 2.17 PUT USD                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    159400000 | NC      | $43605001.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX1                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX1 M3           | CUSIP: 76110WQ74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       530311 | PA      | $525208.85      | 0.00%             | 2035-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-C                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 C M1              | CUSIP: 05946XUE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3625901 | PA      | $3581306.35     | 0.00%             | 2035-05-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3445 FN 09/48 FIXED VAR                        | CUSIP: 3140X6ZK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       149665 | PA      | $143944.19      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 1 AF2            | CUSIP: 69121PCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5925085 | PA      | $3334016.45     | 0.00%             | 2035-10-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3732 FN 08/46 FIXED 3.5                        | CUSIP: 3140FBEE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3440 | PA      | $3217.24        | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 846784 FH 05/29 FLOATING VAR             | CUSIP: 3128HDRD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1030 | PA      | $1029.36        | 0.00%             | 2029-05-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-65284.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NRPL-2019-1A                                                                     | NRPL TRUST SERIES NRPL 2019 1A PT 144A                     | CUSIP: 62947EAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220386345 | PA      | $200439551.91   | 0.10%             | 2058-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-58578.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 3 A13                     | CUSIP: 12543RAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3632390 | PA      | $1129604.65     | 0.00%             | 2037-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-18                                                   | GSAA HOME EQUITY TRUST GSAA 2006 18 AF4A                   | CUSIP: 3622ELAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19783155 | PA      | $5402799.36     | 0.00%             | 2036-11-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-376654.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS BNP PARIBAS                                    | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      7200000 | PA      | $7448674.54     | 0.00%             | 2030-05-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 5 A2             | CUSIP: 802920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20707740 | PA      | $20716805.49    | 0.01%             | 2027-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A F                      | CUSIP: ACI2Q4L35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     19849000 | PA      | $22830036.65    | 0.01%             | 2067-08-22      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A9                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A9 A3             | CUSIP: 45660LTQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3847479 | PA      | $2226787.45     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                                 | FREDDIE MAC FHR 4839 WO                                    | CUSIP: 3137FJK81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42760813 | PA      | $27883774.54    | 0.01%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73800 01/23/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $243035.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $20271.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $437224.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0632 FN 03/48 FIXED 4                          | CUSIP: 3140H1V23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       160638 | PA      | $154317.21      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 788845 FH 11/31 FLOATING VAR             | CUSIP: 31295MZJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4791 | PA      | $4876.49        | 0.00%             | 2031-11-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MXN 8.10250 10/28/24-1Y* (WHT) CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $-68955.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA8                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A8          | CUSIP: 32052DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       155011 | PA      | $40783.79       | 0.00%             | 2037-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2224 FN 07/27 FIXED VAR                        | CUSIP: 3138EJPJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1473 | PA      | $1462.11        | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD3093 FN 01/55 FIXED 7                          | CUSIP: 3140B3NK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       596377 | PA      | $625271.86      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO II LTD 2021-2A                                                   | SILVER ROCK CLO LTD SLVRK 2021 2A AR 144A                  | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     59400000 | PA      | $59631105.80    | 0.03%             | 2035-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH2908 FN 01/26 FIXED 3.5                        | CUSIP: 3138A4GS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1249 | PA      | $1244.47        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-526051.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2D           | CUSIP: 00075WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29877713 | PA      | $16835146.89    | 0.01%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7054 G2 12/50 FIXED 3.5                     | CUSIP: 36179VZT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125432 | PA      | $115440.66      | 0.00%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900371 FN 09/36 FIXED 6.5                        | CUSIP: 31410XJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1313 | PA      | $1368.28        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-6                                                     | LEHMAN MORTGAGE TRUST LMT 2007 6 2A1                       | CUSIP: 52521NAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2643386 | PA      | $1372847.99     | 0.00%             | 2037-07-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-2A                                        | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 2A A2 144A        | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9728304 | PA      | $9793238.78     | 0.00%             | 2028-06-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A9                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A9 A5             | CUSIP: 45660LTS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1265732 | PA      | $732561.89      | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-68815086.68   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-CW1                                                     | ACE SECURITIES CORP. ACE 2006 CW1 A2C                      | CUSIP: 00441QAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       142243 | PA      | $117574.60      | 0.00%             | 2036-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG03                | FHLMC MULTIFAMILY STRUCTURED P FHMS KG03 X1                | CUSIP: 3137FVEE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     86494822 | PA      | $4474195.50     | 0.00%             | 2030-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2B               | CUSIP: 61750SAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3840369 | PA      | $1688918.24     | 0.00%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                                            | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1            | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9948244 | PA      | $9704145.22     | 0.00%             | 2035-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.00100 01/06/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1389012.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4412 FR 10/47 FIXED 4                  | CUSIP: 3131XX3V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       415645 | PA      | $395916.01      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                              | SPACE COAST CREDIT UNION SCCU 2024 1A A3 144A              | CUSIP: 78436RAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39500000 | PA      | $39833067.95    | 0.02%             | 2029-06-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP6618 FN 09/42 FIXED 3.5                        | CUSIP: 3138MAK80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25916 | PA      | $24555.82       | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2003-A5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A5 1A             | CUSIP: 5899293M8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        52273 | PA      | $50905.57       | 0.00%             | 2033-07-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 1A2          | CUSIP: 07389MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       722788 | PA      | $718606.06      | 0.00%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A4              | CUSIP: 617463AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19381022 | PA      | $6233409.45     | 0.00%             | 2036-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS SECOND LIEN TR 2007-1                                               | BEAR STEARNS SECOND LIEN TRUST BSSLT 2007 1 3A             | CUSIP: 07401WBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1714994 | PA      | $1644308.71     | 0.00%             | 2037-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-2                                               | HOME EQUITY ASSET TRUST HEAT 2005 2 M6                     | CUSIP: 437084JV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4685395 | PA      | $4659042.51     | 0.00%             | 2035-07-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1665 FN 12/47 FIXED 4                          | CUSIP: 3140H2Z76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6456217 | PA      | $6207988.33     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $636330.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2024-NQM1 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM1 A1 144A             | CUSIP: 67448LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16735281 | PA      | $16884000.77    | 0.01%             | 2063-11-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-6                                                           | LEHMAN XS TRUST LXS 2005 6 1A1                             | CUSIP: 525221CT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1349366 | PA      | $1131490.81     | 0.00%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA3684 FN 06/49 FIXED 4.5                        | CUSIP: 3140QBCW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9452724 | PA      | $9293798.02     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2867 FN 06/46 FIXED 3.5                        | CUSIP: 3140E7FH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12512 | PA      | $11707.71       | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR                   | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     11280000 | PA      | $11250324.24    | 0.01%             | 2028-03-13      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH9344 G2 07/48 FIXED 4                       | CUSIP: 3617H7LZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       889871 | PA      | $843058.28      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1583 FN 10/47 FIXED 3.5                        | CUSIP: 3140H2XM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38114 | PA      | $35852.18       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2005-2                                    | STRUCTURED ASSET INVESTMENT LO SAIL 2005 2 M3              | CUSIP: 86358ERC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6335025 | PA      | $6123856.58     | 0.00%             | 2035-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SEC 2006-2                                         | CITICORP RESIDENTIAL MORTGAGE CRMSI 2006 2 M2              | CUSIP: 17310EAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5580000 | PA      | $5255803.67     | 0.00%             | 2036-09-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| RIPON INVESTMENTS FINANCING LIMITED                                              | RIPON INVESTMENTS FINANCING RIPON PPN PROXY                | CUSIP: 945ZEJII7<br>LEI: 635400QTU39PPCOAU759 | Long             | DBT              | CORP              | GB        |       435062 | PA      | $585114.28      | 0.00%             | 2025-11-28      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 M1 144A        | CUSIP: 12660QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27143399 | PA      | $23323256.03    | 0.01%             | 2061-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $286603.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 03/29 2.375                                | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1051400000 | PA      | $1007598507.78  | 0.50%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-4CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 4CB 3A3          | CUSIP: 12667FCL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       499628 | PA      | $481429.64      | 0.00%             | 2034-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-13932.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF12                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF12 M2            | CUSIP: 32027NXX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5944786 | PA      | $5836209.65     | 0.00%             | 2036-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR1                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR1 3A           | CUSIP: 76112BKN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       171403 | PA      | $156058.35      | 0.00%             | 2035-03-18      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A3                                   | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A3 2A1            | CUSIP: 76113WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9672105 | PA      | $1861699.41     | 0.00%             | 2037-04-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK6549 FN 07/48 FIXED 4.5                        | CUSIP: 3140HLH33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       131969 | PA      | $129478.65      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08771 FG 07/47 FIXED 4                  | CUSIP: 3128MJ2D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5838 | PA      | $5623.22        | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q61562 FG 02/49 FIXED 3                  | CUSIP: 3132VMWY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14410 | PA      | $12879.38       | 0.00%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-J8                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J8 2A1           | CUSIP: 12667FSH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       156348 | PA      | $164750.79      | 0.00%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA TERM B13                                  | CUSIP: F6628DAM6<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     12268622 | PA      | $11532505.10    | 0.01%             | 2026-08-14      | Floating      | 10.25%                | No            |                  3 | On Loan: No      |
| COMM 2022-HC MORTGAGE TRUST                                                      | COMM MORTGAGE TRUST COMM 2022 HC A 144A                    | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2200000 | PA      | $2109149.68     | 0.00%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M2              | CUSIP: 86358EMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       228656 | PA      | $198098.42      | 0.00%             | 2034-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-60                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 60 2A1                    | CUSIP: 12669FJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        78232 | PA      | $74940.96       | 0.00%             | 2034-02-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR15                                                         | BCAP LLC TRUST BCAP 2009 RR15 1A2 144A                     | CUSIP: 05532MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1423545 | PA      | $1001048.08     | 0.00%             | 2035-10-26      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY5358 FN 03/45 FIXED 4                          | CUSIP: 3138YJ5U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       814988 | PA      | $784419.30      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.38500 10/17/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3190799.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $196258.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR14 A1           | CUSIP: 939336V91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       654481 | PA      | $618080.06      | 0.00%             | 2035-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $143659.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA ROMANIA                                            | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     78700000 | PA      | $92329412.79    | 0.05%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-WL1                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL1 M1           | CUSIP: 542514QW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36239778 | PA      | $35116576.91    | 0.02%             | 2046-01-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1            | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3618898 | PA      | $1624802.63     | 0.00%             | 2045-06-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX2947 FN 10/52 FIXED 6                          | CUSIP: 3140N7HZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24312 | PA      | $24955.01       | 0.00%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 08/28 VAR                   | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    149385000 | PA      | $155245197.28   | 0.08%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A2          | CUSIP: 86360KAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6161304 | PA      | $5086916.39     | 0.00%             | 2036-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/30 2.95                          | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     19314000 | PA      | $18191981.95    | 0.01%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 1 1A1             | CUSIP: 83612PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7593043 | PA      | $7310560.19     | 0.00%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8776 FN 03/53 FIXED 5.5                        | CUSIP: 3140NDXE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49044 | PA      | $49890.63       | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/29 2.625                                | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       560000 | PA      | $541931.25      | 0.00%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.83000 12/09/42-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $490303021.65   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.1* 03/30/21-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1942325.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                                       | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A                  | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     72500000 | PA      | $72621734.75    | 0.04%             | 2034-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8707 FN 09/35 FIXED VAR                        | CUSIP: 3140XCU97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40940 | PA      | $40552.97       | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.4000 06/20/14-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $900369.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-56530.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2004-SD4                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 SD4 M2 144A        | CUSIP: 126673SF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       907998 | PA      | $1027935.76     | 0.00%             | 2034-12-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $12692.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-3                        | GM FINANCIAL CONSUMER AUTOMOBI GMCAR 2024 3 A3             | CUSIP: 38013KAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84800000 | PA      | $85904045.12    | 0.04%             | 2029-04-16      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.64500 07/24/24-2Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $23336758.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-R1                                               | VERUS SECURITIZATION TRUST VERUS 2024 R1 A1 144A           | CUSIP: 924926AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23800886 | PA      | $23827184.08    | 0.01%             | 2069-09-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A D                      | CUSIP: ACI2Q4LP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     44327000 | PA      | $52464564.60    | 0.03%             | 2067-08-22      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 BR1 A1 144A       | CUSIP: 81378KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32357610 | PA      | $29541426.52    | 0.01%             | 2037-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM0804 FR 02/46 FIXED 4                  | CUSIP: 3131XT3M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29740 | PA      | $28630.46       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-5                                          | THORNBURG MORTGAGE SECURITIES TMST 2003 5 1A               | CUSIP: 885220EB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       101907 | PA      | $94989.90       | 0.00%             | 2043-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 2A3            | CUSIP: 05949CPJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        52367 | PA      | $47914.44       | 0.00%             | 2036-01-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO LTD 2018-1A                                                           | CARVAL CLO LTD CARVL 2018 1A AR 144A                       | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     43676700 | PA      | $43723313.21    | 0.02%             | 2031-07-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $542658.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A E 144A         | CUSIP: 210928AK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19422960 | PA      | $19735710.93    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2019 RPL1 B1 144A         | CUSIP: 52473MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53302000 | PA      | $50958924.10    | 0.03%             | 2058-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2005-1                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2005 1 M7               | CUSIP: 29445FCU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4623006 | PA      | $4216734.78     | 0.00%             | 2035-04-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SECURITIES CORP                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 4 3A4             | CUSIP: 22541SUQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       178080 | PA      | $165375.78      | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-11                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 11 M4              | CUSIP: 126673LU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4674129 | PA      | $4591751.69     | 0.00%             | 2035-01-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 04/34 3.469                 | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     40370000 | PA      | $36858219.35    | 0.02%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6787 FN 08/46 FIXED 4                          | CUSIP: 3140FERH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       396455 | PA      | $379907.15      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.65000 05/11/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-14701484.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8144 FR 03/51 FIXED 3.5                | CUSIP: 3132DWBM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       105624 | PA      | $97508.81       | 0.00%             | 2051-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8331 FR 06/53 FIXED 5.5                | CUSIP: 3132DWHG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39863488 | PA      | $40348034.66    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4439 FN 04/46 FIXED 4                          | CUSIP: 3140EY4Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12731 | PA      | $12261.18       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-NCW                                               | MASTR ASSET BACKED SECURITIES MABS 2007 NCW A1 144A        | CUSIP: 576456AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5635172 | PA      | $5026143.13     | 0.00%             | 2037-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 XS 144A        | CUSIP: 12660QAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261263454 | PA      | $1385715.23     | 0.00%             | 2061-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| M&T EQUIPMENT 2024-LEAF1 LLC                                                     | M+T EQUIPMENT NOTES MTLRF 2024 1A A2 144A                  | CUSIP: 55376YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32030090 | PA      | $32146826.91    | 0.02%             | 2031-08-18      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2005-AR35                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR35 2A1          | CUSIP: 45660L2H1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2060347 | PA      | $1463600.22     | 0.00%             | 2036-02-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR 01/50 7.69                | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     16197000 | PA      | $14736696.30    | 0.01%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-7                                                    | COUNTRYWIDE HOME LOANS CWHL 2004 7 1A1                     | CUSIP: 12669FXH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       318765 | PA      | $324859.47      | 0.00%             | 2034-06-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-12                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 12 2A2                    | CUSIP: 36242DKV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       387519 | PA      | $50512.54       | 0.00%             | 2034-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3684 FN 06/39 FIXED 4                          | CUSIP: 31418DCW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       217970 | PA      | $214321.85      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 665301 FN 09/32 FIXED 6.5                        | CUSIP: 31391FDE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          397 | PA      | $409.86         | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2019-RPL3                                                            | CSMCM TRUST CERTIFICATES CSMCM 2019 RPL3 CERT 144A         | CUSIP: 12596PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6849822 | PA      | $5461452.35     | 0.00%             | 2060-10-27      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                                  | AVON FINANCE AVON 4A B 144A                                | CUSIP: ACI2JTNM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     15118000 | PA      | $20432466.49    | 0.01%             | 2049-12-28      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL4                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL4 A5            | CUSIP: 76112BGP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       301743 | PA      | $97860.30       | 0.00%             | 2032-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| IFC EMERGING MARKETS SECURITIZATION 2025-1 LTD                                   | IFC EMERGING MARKETS SECURITIZ IFCEMS 2025 1A A 144A       | CUSIP: 45174DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    123200000 | PA      | $123188073.01   | 0.06%             | 2035-12-31      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-2                                                    | GSAA HOME EQUITY TRUST GSAA 2007 2 AF3                     | CUSIP: 3622EUAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33029017 | PA      | $5981733.27     | 0.00%             | 2037-03-25      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN9986 FR 04/37 FIXED 3                  | CUSIP: 3133GHCX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       375052 | PA      | $362933.42      | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-23                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 1A              | CUSIP: 12666CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26081486 | PA      | $24959306.31    | 0.01%             | 2037-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP MYC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $84083.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $1654904.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                 | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     29150319 | PA      | $21163131.45    | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.45000 05/05/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1483721.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $236944.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 6A2                 | CUSIP: 466247QJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       459030 | PA      | $461581.76      | 0.00%             | 2035-06-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-5A LLC                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 5A A 144A        | CUSIP: 05377RHC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35413000 | PA      | $36180399.71    | 0.02%             | 2028-04-20      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 07/35 8.125              | CUSIP: 654922AD5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     82100000 | PA      | $88185252.00    | 0.04%             | 2035-07-17      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-12N                                                         | LEHMAN XS TRUST LXS 2006 12N A31A                          | CUSIP: 525226AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5711734 | PA      | $5982106.75     | 0.00%             | 2046-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-ALT1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 ALT1 A1            | CUSIP: 92978GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6152823 | PA      | $2080703.70     | 0.00%             | 2037-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9590 FN 12/46 FIXED 4                          | CUSIP: 3140FHUQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145130 | PA      | $139611.30      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2011-R2                                             | MORGAN STANLEY REREMIC TRUST MSRR 2011 R2 1A 144A          | CUSIP: 61760JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6960325 | PA      | $3092543.30     | 0.00%             | 2037-05-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0107 FR 09/52 FIXED 5.5                | CUSIP: 3133BMDL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4968388 | PA      | $5033105.26     | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A              | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11463576 | PA      | $10512460.24    | 0.01%             | 2035-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDL 2006-BC4                                         | SPECIALTY UNDERWRITING + RESID SURF 2006 BC4 A1            | CUSIP: 84751YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17752476 | PA      | $16690718.51    | 0.01%             | 2037-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8495 FN 11/44 FIXED 4.5                        | CUSIP: 3138XYNM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       262673 | PA      | $260854.95      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3054 FN 07/45 FIXED 4                          | CUSIP: 3138YUMC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47392 | PA      | $45605.02       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-1A                                                   | LENDMARK FUNDING TRUST LFT 2024 1A A 144A                  | CUSIP: 52603DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20100000 | PA      | $20412104.76    | 0.01%             | 2032-06-21      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2021-1 CLASS A PASS THROUGH TRUST                                | BRITISH AIR 21 1 A PPT PASS THRU CE 144A 09/36 2.9         | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     11264419 | PA      | $10249764.75    | 0.01%             | 2036-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3575 FN 12/38 FIXED 3.5                        | CUSIP: 31418C6M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54270 | PA      | $52333.81       | 0.00%             | 2038-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                                 | CUSIP: 21H0606B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    236007000 | PA      | $240040758.48   | 0.12%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-1 LTD                                                         | WELLFLEET CLO LTD WELF 2021 1A A1R 144A                    | CUSIP: 94950CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     44500000 | PA      | $44564165.89    | 0.02%             | 2034-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A5 4A1                 | CUSIP: 46629CAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4323176 | PA      | $3466450.47     | 0.00%             | 2036-08-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7582 FN 03/53 FIXED 5.5                        | CUSIP: 3140NCM89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5838411 | PA      | $5909937.97     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $77324.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A2                    | CUSIP: 12669GUY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1828842 | PA      | $947797.23      | 0.00%             | 2035-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $5742046.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A2              | CUSIP: 617463AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28343668 | PA      | $9116596.23     | 0.00%             | 2036-11-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9388 FN 03/47 FIXED 4                          | CUSIP: 3140FHNE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18985 | PA      | $18256.54       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251107                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $144.84         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                              | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR               | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     15100000 | PA      | $15745525.00    | 0.01%             | 2032-06-07      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B B 144A           | CUSIP: 78450CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10555672 | PA      | $10866704.02    | 0.01%             | 2052-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-547627.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUT+5.89/0.00000 03/15/21-8Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $276466139.07   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.70000 06/06/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-53223380.27   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6516 FR 01/53 FIXED 6.5                | CUSIP: 3133BUGZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       214251 | PA      | $222556.13      | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1            | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7837 | PA      | $7333.74        | 0.00%             | 2033-02-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5380 FN 07/45 FIXED 4                          | CUSIP: 3138WE6S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       302892 | PA      | $291751.07      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/28 VAR                  | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      6000000 | PA      | $6383700.00     | 0.00%             | 2028-06-06      | Floating      | 16.19%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q61106 FG 01/49 FIXED 3.5                | CUSIP: 3132VMGQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       192051 | PA      | $178407.45      | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-10                                                        | FANNIE MAE FNR 2024 10 AF                                  | CUSIP: 3136BQ6A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11759391 | PA      | $11733151.55    | 0.01%             | 2050-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.53000 04/23/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1294082.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO8938 FN 01/50 FIXED 4                          | CUSIP: 3140K44Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28162 | PA      | $27025.84       | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-LTV1                                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2025 LTV1 PT 144A           | CUSIP: 46659FAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255833658 | PA      | $265115379.38   | 0.13%             | 2055-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0805 FN 07/45 FIXED 3.5                        | CUSIP: 3138YR3P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       273606 | PA      | $257371.11      | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD 2020-22A                                    | BENEFIT STREET PARTNERS CLO LT BSP 2020 22A ARR 144A       | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     34100000 | PA      | $34219554.94    | 0.02%             | 2035-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7715 FN 12/26 FIXED 3                          | CUSIP: 3138E0SD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6536 | PA      | $6483.29        | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP1                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP1 PT 144A         | CUSIP: 12653WAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119887619 | PA      | $114682818.37   | 0.06%             | 2046-06-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| TOWER BRIDGE FUNDING 2024-1 PLC 24-1A                                            | TOWER BRIDGE FUNDING TWRBG 2024 1A A 144A                  | CUSIP: ACI2M6698<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    106125619 | PA      | $142955226.33   | 0.07%             | 2066-01-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $10846.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.88000 03/30/22-6Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-8267486.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1                               | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 1 A2              | CUSIP: 31659TEY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20188845 | PA      | $15224028.13    | 0.01%             | 2036-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION 2007-EQ1                                 | STRUCTURED ASSET SECURITIES CO SASC 2007 EQ1 A4            | CUSIP: 86363HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14991229 | PA      | $5544996.09     | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-OPT4                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT4 M2           | CUSIP: 04542BHE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4412035 | PA      | $4578944.94     | 0.00%             | 2033-12-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2004-1                                           | MASTR SEASONED SECURITIZATION MSSTR 2004 1 4A1             | CUSIP: 55265WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7797 | PA      | $7676.32        | 0.00%             | 2032-10-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 8 M7 144A          | CUSIP: 1266735J7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9836000 | PA      | $9052069.81     | 0.00%             | 2035-12-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF1                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF1 M3             | CUSIP: 32027NQN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2041777 | PA      | $2071897.03     | 0.00%             | 2034-12-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO XIII LTD 2019-1A                                                    | MARATHON CLO LTD MCLO 2019 1A AAR2 144A                    | CUSIP: 56579ABJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1619648 | PA      | $1622564.11     | 0.00%             | 2032-04-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                          | SCLP 2025 C A 144A                                         | CUSIP: 990AAUWA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    166755000 | PA      | $166710104.55   | 0.08%             | 2034-09-06      | Fixed         | 4.32%                 | No            |                  3 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR1 4A1                   | CUSIP: 36242DUQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8611 | PA      | $7643.52        | 0.00%             | 2035-01-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-200767.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-WMC1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 WMC1 A2D          | CUSIP: 59020U3Y9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14009974 | PA      | $13317783.64    | 0.01%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3634 FN 04/39 FIXED 3.5                        | CUSIP: 31418DBC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       581236 | PA      | $559233.84      | 0.00%             | 2039-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-B                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 B M1              | CUSIP: 63860LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17031000 | PA      | $16442817.38    | 0.01%             | 2037-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A1A                 | CUSIP: 126670JX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9871 | PA      | $8724.46        | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-128185.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-AB1                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 AB1 M2             | CUSIP: 126673HJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9196652 | PA      | $8546257.48     | 0.00%             | 2034-08-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $11870370.21    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H31                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H31 FB             | CUSIP: 38375BD58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       731084 | PA      | $730369.12      | 0.00%             | 2062-10-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257247 FN 06/48 FIXED 5.5                        | CUSIP: 31371NWG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11743 | PA      | $12031.66       | 0.00%             | 2048-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL6 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL6 A1 144A      | CUSIP: 740936AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29291844 | PA      | $29458561.25    | 0.01%             | 2055-06-25      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-3                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M2             | CUSIP: 07388GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1400000 | PA      | $1376810.26     | 0.00%             | 2036-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC6                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC6 M1            | CUSIP: 86358ECL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       320715 | PA      | $318757.60      | 0.00%             | 2033-07-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1310207.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-9                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 9 A1             | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       785427 | PA      | $752122.59      | 0.00%             | 2035-10-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 2A1                  | CUSIP: 125438AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       960187 | PA      | $815961.50      | 0.00%             | 2047-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUST RATE MTG LN 2004-13                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 13 A1             | CUSIP: 863579AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       156684 | PA      | $152748.77      | 0.00%             | 2034-09-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB0048 FR 08/34 FIXED 3                  | CUSIP: 3132CWBR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7383 | PA      | $7147.85        | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 4A2                 | CUSIP: 46630PBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2998572 | PA      | $2472191.81     | 0.00%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0663 FN 12/43 FIXED 4.5                        | CUSIP: 3138XBWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2601 | PA      | $2593.73        | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2007 AR2 1A1                   | CUSIP: 3622N6AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       901549 | PA      | $468772.70      | 0.00%             | 2037-05-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9485 G2 02/54 FIXED 4                       | CUSIP: 36179YRE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       343284 | PA      | $325016.83      | 0.00%             | 2054-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B B 144A           | CUSIP: 78449HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    126682136 | PA      | $128698839.55   | 0.06%             | 2056-10-16      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-BU1                                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A         | CUSIP: 41161PG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1086077 | PA      | $1008159.96     | 0.00%             | 2046-02-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-23                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 23 5A1            | CUSIP: 22541QWZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32521 | PA      | $33005.92       | 0.00%             | 2033-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/41 FIXED 3.714    | CUSIP: 38122ND58<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      1100000 | PA      | $864002.15      | 0.00%             | 2041-06-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8425 G2 11/52 FIXED 3.5                     | CUSIP: 36179XLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    126701589 | PA      | $116033641.76   | 0.06%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08749 FG 02/47 FIXED 4                  | CUSIP: 3128MJZP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4930 | PA      | $4747.84        | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 2B2 144A       | CUSIP: 12597GAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57175750 | PA      | $56873038.71    | 0.03%             | 2059-09-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-FA11                                             | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 FA11 1A4A        | CUSIP: 32051GL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2288507 | PA      | $921424.30      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 22A1                 | CUSIP: 07386HC25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5701265 | PA      | $4809156.88     | 0.00%             | 2036-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 12A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 12A A2 144A             | CUSIP: 01450DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     27000000 | PA      | $24570000.00    | 0.01%             | 2037-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8426 G2 11/52 FIXED 4                       | CUSIP: 36179XLF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3140229 | PA      | $2986687.86     | 0.00%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE1 M2            | CUSIP: 59020U3F0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10650962 | PA      | $10220556.94    | 0.01%             | 2036-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2018-RPL12                                                           | CSMCM TRUST CERTIFICATES CSMCM 2018 RP12 CERT 144A         | CUSIP: 12657MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52605106 | PA      | $41799096.46    | 0.02%             | 2060-10-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-2A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 2A A3 144A           | CUSIP: 505920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13056667 | PA      | $13147559.49    | 0.01%             | 2028-08-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-J2                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 J2 2A8                    | CUSIP: 12545EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1669648 | PA      | $552290.15      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHESTER A CESTR 1 AA B 144A                                | CUSIP: ACI1BFKH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    125536000 | PA      | $169303669.29   | 0.08%             | 2046-03-17      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 2A1                         | CUSIP: 81743VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1355 | PA      | $1338.49        | 0.00%             | 2027-10-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                                | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2B           | CUSIP: 81377AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19046497 | PA      | $7521023.46     | 0.00%             | 2036-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-3                                              | UPSTART SECURITIZATION TRUST UPST 2025 3 B 144A            | CUSIP: 91684FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5700000 | PA      | $5698968.30     | 0.00%             | 2035-09-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2025 4A A2              | CUSIP: 30167KAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44700000 | PA      | $44756867.34    | 0.02%             | 2028-03-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2002-5                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2002 5 M1             | CUSIP: 68389FCT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1026098 | PA      | $1209094.09     | 0.00%             | 2032-10-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-11433.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-B                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 B A2                 | CUSIP: 59020UWV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59332 | PA      | $58690.71       | 0.00%             | 2030-07-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES COMPANY GUAR 04/28 4.95                     | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      3980000 | PA      | $4011678.93     | 0.00%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.44600 10/23/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2556936.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3898 FN 04/48 FIXED VAR                        | CUSIP: 3140J8KL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        90669 | PA      | $87215.62       | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-7                                                | VERUS SECURITIZATION TRUST VERUS 2023 7 A1 144A            | CUSIP: 92539YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43463518 | PA      | $44184464.88    | 0.02%             | 2068-10-25      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1036 FN 04/53 FIXED 5                          | CUSIP: 3140NHEJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        92012 | PA      | $91655.47       | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5282 FN 09/47 FIXED 4.5                        | CUSIP: 3140GT2Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6809 | PA      | $6704.97        | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2005 HE3 M5                | CUSIP: 61744CSK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1926231 | PA      | $1895167.64     | 0.00%             | 2035-07-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEXICAN UDIBONOS BONDS 12/26 3                             | CUSIP: ACI24R197<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    492219203 | PA      | $26667215.40    | 0.01%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-HY2                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY2 1A           | CUSIP: 02148LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4817999 | PA      | $4586975.74     | 0.00%             | 2047-03-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF2             | CUSIP: 75970JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6554731 | PA      | $1649839.67     | 0.00%             | 2037-04-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM2 A2A           | CUSIP: 81376GAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16913001 | PA      | $12017772.81    | 0.01%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G61254 FG 01/48 FIXED 4                  | CUSIP: 31335BMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2919833 | PA      | $2810838.28     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1851 FN 06/48 FIXED 4                          | CUSIP: 3140Q9BV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11153 | PA      | $10711.43       | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4432 FN 04/31 FIXED 3.5                        | CUSIP: 3140EY4S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5051 | PA      | $4981.04        | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8391 FR 02/53 FIXED 6                  | CUSIP: 3133BWKC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       726158 | PA      | $748582.30      | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5067 FN 11/53 FIXED 6.5                        | CUSIP: 3140A5TZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5659815 | PA      | $5868640.49     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII2 144A     | CUSIP: 760985Y96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1609919 | PA      | $1615410.64     | 0.00%             | 2034-04-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                                     | ACE SECURITIES CORP. ACE 2006 NC3 A1B                      | CUSIP: 00442EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59670512 | PA      | $30875862.07    | 0.02%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/30 6.25                                 | CUSIP: 912810FM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       845000 | PA      | $934748.24      | 0.00%             | 2030-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5474 FN 07/45 FIXED 4                          | CUSIP: 3138WFCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65858 | PA      | $63435.99       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC3                                          | STRUCTURED ASSET SECURITIES CO SASC 2007 BC3 1A3           | CUSIP: 86363WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1274719 | PA      | $1254211.17     | 0.00%             | 2047-05-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A A2 144A        | CUSIP: 21056EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48568000 | PA      | $50478480.56    | 0.02%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2006-BC3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC3 M1             | CUSIP: 23242HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1705593 | PA      | $1701253.87     | 0.00%             | 2037-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2013-2A                                                         | CIFC FUNDING LTD CIFC 2013 2A A1L2 144A                    | CUSIP: 12549BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7090592 | PA      | $7092668.73     | 0.00%             | 2030-10-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 2A1                 | CUSIP: 46628KAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5327 | PA      | $4495.25        | 0.00%             | 2036-05-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A A1R 144A        | CUSIP: 05685AAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     66800000 | PA      | $66912374.30    | 0.03%             | 2034-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-B                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 B SA 144A         | CUSIP: 17327MAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       296909 | PA      | $290370.41      | 0.00%             | 2082-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                                         | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528     | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       221149 | PA      | $221941.48      | 0.00%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4168 FN 12/44 FIXED 4                          | CUSIP: 3138WDT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23992 | PA      | $23121.93       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 2A1         | CUSIP: 94984MAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       781376 | PA      | $719636.43      | 0.00%             | 2036-10-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.47000 09/04/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $579098.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 04/07/21-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $30007869.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6941 FN 02/26 FIXED 4                          | CUSIP: 3138A8WB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          511 | PA      | $509.46         | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0972 FN 11/47 FIXED 3.5                        | CUSIP: 3140H2CJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       792637 | PA      | $740158.45      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-10                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 10 1A4                    | CUSIP: 1266942A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1862834 | PA      | $545036.10      | 0.00%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GMAC COMMERCIAL MORTGAGE ASSET CORPORATION 2003 BRAG                             | GMAC COMMERCIAL MORTGAGE ASSET GMACN 2003 BRAG CERT 144A   | CUSIP: 36185PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4383410 | PA      | $4311362.36     | 0.00%             | 2038-08-10      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-3 2006-3                                              | LEHMAN MORTGAGE TRUST LMT 2006 3 1A8                       | CUSIP: 52520CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4804724 | PA      | $1833820.47     | 0.00%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL AS5752 G2 03/46 FIXED 3.5                     | CUSIP: 36193QL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3691413 | PA      | $3415150.17     | 0.00%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/46 2.25                                 | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4400000 | PA      | $2937000.00     | 0.00%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4506 FN 12/45 FIXED 4                          | CUSIP: 3140E9AG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2118855 | PA      | $2038728.77     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A5             | CUSIP: 59020USM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       529690 | PA      | $505949.17      | 0.00%             | 2035-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-680121.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-2                                               | ALLY AUTO RECEIVABLES TRUST ALLYA 2024 2 A3                | CUSIP: 02007NAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40900000 | PA      | $41012041.46    | 0.02%             | 2029-07-16      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R8                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R8 M5             | CUSIP: 03072SM44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2718000 | PA      | $2611775.67     | 0.00%             | 2035-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| ARES LXV CLO LTD                                                                 | ARES CLO LTD ARES 2022 65A A1R 144A                        | CUSIP: 04019FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     57900000 | PA      | $58102650.00    | 0.03%             | 2034-07-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG          | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     57550000 | PA      | $7481500.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV2219 FN 12/43 FIXED 3.5                        | CUSIP: 3138XDPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       161899 | PA      | $152295.26      | 0.00%             | 2043-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                                              | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A18           | CUSIP: 61751MAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       105562 | PA      | $99678.78       | 0.00%             | 2037-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 2A5           | CUSIP: 74922KAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1181113 | PA      | $904865.14      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3814 FN 06/46 FIXED 3.5                        | CUSIP: 3140FBGY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       903650 | PA      | $845543.09      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RASC TRUST 2006-EMX6                                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX6 A4           | CUSIP: 754065AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19098782 | PA      | $16906980.57    | 0.01%             | 2036-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2019 RPL2 PT 144A         | CUSIP: 52475LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92450853 | PA      | $87159520.85    | 0.04%             | 2057-06-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO9178 FN 02/50 FIXED 4                          | CUSIP: 3140K5FU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       529741 | PA      | $517665.64      | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH2 AF3          | CUSIP: 46630MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3003246 | PA      | $1494804.40     | 0.00%             | 2030-10-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 2A7                 | CUSIP: 466247YT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94576 | PA      | $77105.21       | 0.00%             | 2035-11-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 3A1           | CUSIP: 45660LZM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       205834 | PA      | $155641.73      | 0.00%             | 2035-11-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3785                                                          | FREDDIE MAC FHR 3785 LS                                    | CUSIP: 3137A5L77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       718192 | PA      | $671682.84      | 0.00%             | 2041-01-15      | Floating      | 0.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW5722 FN 09/44 FIXED 4                          | CUSIP: 3138XVLC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2185 | PA      | $2106.21        | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2003-2                                             | RENAISSANCE HOME EQUITY LOAN T RAMC 2003 2 A               | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       528216 | PA      | $483196.35      | 0.00%             | 2033-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A D                              | CUSIP: ACI2P7XN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     14131000 | PA      | $19230948.32    | 0.01%             | 2062-11-16      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 4A1         | CUSIP: 02152AAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1930724 | PA      | $1215851.60     | 0.00%             | 2037-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX8352 FR 03/55 FIXED 7                  | CUSIP: 31426FH67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       350839 | PA      | $367850.02      | 0.00%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO4281 FN 07/49 FIXED 4                          | CUSIP: 3140JYXK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       911993 | PA      | $891691.09      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PASTOR IM FTH/FTA 4                                                              | PASTOR IM FTH/FTA IMPAS 4 A REGS                           | CUSIP: B16Q8CII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |      7856764 | PA      | $8264557.04     | 0.00%             | 2044-03-22      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4592 FN 02/48 FIXED 4                          | CUSIP: 3140H6C64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1144635 | PA      | $1100567.08     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S2 1A12          | CUSIP: 16163BAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       961338 | PA      | $348930.78      | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6015 FN 05/46 FIXED 4                          | CUSIP: 3140F1VH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8665 | PA      | $8323.59        | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 3A1A                 | CUSIP: 1266944E5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1982196 | PA      | $1825529.99     | 0.00%             | 2036-05-20      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1           | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3770771 | PA      | $3248435.15     | 0.00%             | 2035-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                    | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A                  | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2908597.20     | 0.00%             | 2036-09-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-21                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 2A4             | CUSIP: 12667LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10336678 | PA      | $9581606.70     | 0.00%             | 2037-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 899859 FN 11/37 FIXED 6.5                        | CUSIP: 31410WWU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1527 | PA      | $1600.19        | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $9557.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 3A1               | CUSIP: 12638PBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       161695 | PA      | $133072.40      | 0.00%             | 2037-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 2 C              | CUSIP: 80287JAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79500000 | PA      | $80688413.70    | 0.04%             | 2030-12-16      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A B 144A         | CUSIP: 21056EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10543354 | PA      | $10935321.83    | 0.01%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-4                                                              | IMPAC CMB TRUST IMM 2004 4 2A1                             | CUSIP: 45254NJB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1086060 | PA      | $1102255.26     | 0.00%             | 2034-09-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8260 FR 09/52 FIXED 5.5                | CUSIP: 3132DWE90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41066 | PA      | $41613.38       | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-WL3                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL3 2A4          | CUSIP: 542514SW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5434546 | PA      | $4916071.61     | 0.00%             | 2036-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/48 1                                    | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    248499412 | PA      | $186405877.38   | 0.09%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 1A B 144A        | CUSIP: ACI2TS586<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     22500000 | PA      | $26464700.70    | 0.01%             | 2034-10-15      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| MFA 2023-INV2 TRUST                                                              | MFRA TRUST MFRA 2023 INV2 A1 144A                          | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17985315 | PA      | $18197056.00    | 0.01%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-C                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1                 | CUSIP: 589929S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       235460 | PA      | $219455.62      | 0.00%             | 2028-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A4           | CUSIP: 144527AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8317260 | PA      | $7320192.69     | 0.00%             | 2036-12-26      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.46000 08/01/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $3626109.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256708 FN 03/27 FIXED 6.5                        | CUSIP: 31371NDM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9144 | PA      | $9438.12        | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP5889 FN 09/42 FIXED 4                          | CUSIP: 3138M9RK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       428892 | PA      | $414722.00      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 2A A2A 144A      | CUSIP: 96042YAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23930627 | PA      | $23989562.94    | 0.01%             | 2027-08-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/28 VAR                   | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      1188000 | PA      | $1167387.74     | 0.00%             | 2028-05-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A FR 144A                          | CUSIP: ACI1747D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     85302000 | PA      | $70494789.33    | 0.03%             | 2054-10-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVI 2021-1A                                           | PARK AVENUE INSTITUTIONAL ADVI PAIA 2021 1A A1AR 144A      | CUSIP: 70015QAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     49500000 | PA      | $49527135.90    | 0.02%             | 2034-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 B 144A        | CUSIP: 173114AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18821538 | PA      | $14666813.36    | 0.01%             | 2070-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-A                                                    | OPORTUN FUNDING LLC OPTN 2025 A C 144A                     | CUSIP: 68377TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       500000 | PA      | $500796.55      | 0.00%             | 2033-02-08      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2006-5                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 5 4A1             | CUSIP: 86360NAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2226215 | PA      | $1281404.11     | 0.00%             | 2036-06-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 12/25 0.00000                                | CUSIP: 912797RX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     19240000 | PA      | $19085043.16    | 0.01%             | 2025-12-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 9 6A1                  | CUSIP: 07386HLE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19552 | PA      | $19389.53       | 0.00%             | 2034-09-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-11                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 11 1A1            | CUSIP: 863579RP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       860258 | PA      | $720683.75      | 0.00%             | 2035-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 606787 FN 10/31 FIXED 6.5                        | CUSIP: 31388KCY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          242 | PA      | $249.61         | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A1 144A         | CUSIP: 62951MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       340565 | PA      | $311251.23      | 0.00%             | 2034-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE3 2A           | CUSIP: 073852AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4690107 | PA      | $4521022.55     | 0.00%             | 2037-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA8904 FR 04/53 FIXED 6.5                | CUSIP: 3133KQ3M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       635419 | PA      | $663003.85      | 0.00%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.52500 09/04/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $684974.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 1A              | CUSIP: 86359BFY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       199926 | PA      | $189935.82      | 0.00%             | 2034-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-9                                                   | HOME EQUITY ASSET TRUST HEAT 2005 9 M1                     | CUSIP: 437084QY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       267272 | PA      | $265290.99      | 0.00%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6405 FN 12/47 FIXED 4                          | CUSIP: 3140GVDK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70623 | PA      | $67896.60       | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2006-BC2                                          | STRUCTURED ASSET SECURITIES CO SASC 2006 BC2 A3            | CUSIP: 86361GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3781555 | PA      | $3670022.68     | 0.00%             | 2036-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A2            | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       143280 | PA      | $136652.42      | 0.00%             | 2035-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $87868.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52305 FG 11/47 FIXED 3                  | CUSIP: 3132XUR31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7298 | PA      | $6541.65        | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1532 FN 04/48 FIXED 3.5                        | CUSIP: 3140Q8V28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3301702 | PA      | $3070261.29     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $3711239.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.6* 7/26/23-6Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-9792355.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5445 FN 08/54 FIXED 6                          | CUSIP: 31418FBP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17044355 | PA      | $17434068.15    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR7 5A1           | CUSIP: 86359LQS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20612 | PA      | $19214.56       | 0.00%             | 2046-03-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH4477 G2 07/48 FIXED 4                       | CUSIP: 3617H16N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1126288 | PA      | $1067719.61     | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 7 2A4              | CUSIP: 232422AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1409251 | PA      | $1395048.85     | 0.00%             | 2046-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/28 3                | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     85600000 | PA      | $82556300.26    | 0.04%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A B 144A         | CUSIP: 21056DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13249249 | PA      | $13736856.06    | 0.01%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $-598371.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2362 FN 03/47 FIXED 3.5                        | CUSIP: 3140FMTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27176 | PA      | $25276.86       | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6311 FN 12/45 FIXED 3.5                        | CUSIP: 3138WGAM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4418 | PA      | $4150.48        | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TIKEHAU CLO V BV 5A                                                              | TIKEHAU TIKEH 5A AR 144A                                   | CUSIP: ACI2YQ816<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     74250000 | PA      | $87086794.55    | 0.04%             | 2038-10-15      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/46 FIXED 3        | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      4580000 | PA      | $4096002.55     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A3 144A      | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3771606 | PA      | $2514992.98     | 0.00%             | 2037-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84392 FG 06/48 FIXED 4.5                | CUSIP: 3132L92Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1779413 | PA      | $1759306.01     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1327730.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA8135 FR 10/52 FIXED 5.5                | CUSIP: 3133KQBC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22020 | PA      | $22364.71       | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8266 G2 09/52 FIXED 3.5                     | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87904235 | PA      | $80521019.13    | 0.04%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                                | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A             | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100200000 | PA      | $100293642.91   | 0.05%             | 2034-08-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $5679655.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 X 144A        | CUSIP: 17329HAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    819120747 | PA      | $36535160.76    | 0.02%             | 2060-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S3                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S3 A4            | CUSIP: 46628VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8646762 | PA      | $8513309.87     | 0.00%             | 2036-08-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3           | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25757163 | PA      | $6132566.76     | 0.00%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.79250 11/19/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1664312.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 3A1           | CUSIP: 17307G3F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       830835 | PA      | $800248.49      | 0.00%             | 2036-03-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2006-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 2 AF3             | CUSIP: 759676AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       662311 | PA      | $232818.07      | 0.00%             | 2036-08-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1154176436 | PA      | $1144817830.99  | 0.57%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR12                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR12 1A1          | CUSIP: 22541N4S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       245946 | PA      | $243415.21      | 0.00%             | 2033-04-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-8                                                   | HOME EQUITY ASSET TRUST HEAT 2004 8 M5                     | CUSIP: 437084GV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1629040 | PA      | $1574629.08     | 0.00%             | 2035-03-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1A          | CUSIP: 02150PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12132596 | PA      | $11052529.61    | 0.01%             | 2037-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $3320237.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AS.6 SP DUB                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $66.67          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83592 FG 11/47 FIXED 3.5                | CUSIP: 3132L87D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       130721 | PA      | $121687.21      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2008-1                                       | THORNBURG MORTGAGE SECURITIES TMST 2008 1 3A1              | CUSIP: 88522UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5377039 | PA      | $4266572.08     | 0.00%             | 2038-04-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO120626                                 | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 140972814000 | PA      | $83598076.70    | 0.04%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET D SHARES                               | CUSIP: ACI01UGC4<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 22A1             | CUSIP: 026935AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8569982 | PA      | $7741791.39     | 0.00%             | 2037-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-11                                             | RBSSP RESECURITIZATION TRUST RBSSP 2009 11 4A3 144A        | CUSIP: 74928TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17632478 | PA      | $15081371.93    | 0.01%             | 2037-12-26      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2006-7                                                     | TERWIN MORTGAGE TRUST TMTS 2006 7 1A2C 144A                | CUSIP: 88156PAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4960000 | PA      | $4502639.89     | 0.00%             | 2037-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 634585 FN 01/32 FIXED 6.5                        | CUSIP: 31389S6W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1203 | PA      | $1256.69        | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL1 X 144A          | CUSIP: 52472WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3504048 | PA      | $2476141.03     | 0.00%             | 2070-01-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A2            | CUSIP: 14076LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13112086 | PA      | $13125859.39    | 0.01%             | 2028-02-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-R4                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 R4 1A4 144A               | CUSIP: 12669FFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12420139 | PA      | $11766348.26    | 0.01%             | 2034-01-25      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5039 FR 03/40 FIXED 3.5                | CUSIP: 3133KYS42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103836 | PA      | $99522.29       | 0.00%             | 2040-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PHH ALTERNATIVE MORTGAGE TRUST 2007-1                                            | PHH ALTERNATIVE MORTGAGE TRUST PHHAM 2007 1 21A            | CUSIP: 69337BAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2044960 | PA      | $1702106.89     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55000 08/21/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $732026.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/50 0.25                                 | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    206337503 | PA      | $122203520.51   | 0.06%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22902.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO 2003-37A                                          | STRUCTURED ASSET SECURITIES CO SASC 2003 37A 1A            | CUSIP: 86359BBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       554981 | PA      | $552638.31      | 0.00%             | 2033-12-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8514 FN 03/53 FIXED 5.5                        | CUSIP: 3140NDN86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4266425 | PA      | $4329500.07     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8166 FN 02/27 FIXED 3                          | CUSIP: 3138XYCC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10364 | PA      | $10277.41       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY1670 FN 02/45 FIXED 3.5                        | CUSIP: 3138YE2C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2510 | PA      | $2360.62        | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE BENCHMARK REMIC 2007-B1                                               | FANNIE MAE BENCHMARK REMIC FNBR 2007 B1 ZA                 | CUSIP: 31396VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3063387 | PA      | $3147695.06     | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PYRAMID FUNDING                                                                  | PYRAMID FUNDING 2025 LIMITED PYRAMID CLASS A NOTES         | CUSIP: 938KLCII6<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    328762626 | PA      | $389967023.40   | 0.19%             | 2035-03-28      | Variable      | 5.06%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ8153 FN 12/26 FIXED 3.5                        | CUSIP: 3138E1BX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6216 | PA      | $6179.68        | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2799 FN 04/53 FIXED 6                          | CUSIP: 3140NKDD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3013093 | PA      | $3105065.12     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-SB1                                       | UPSTART PASS THROUGH TRUST UPSPT 2022 SB1 A 144A           | CUSIP: 91682PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4866348 | PA      | $4938420.33     | 0.00%             | 2028-10-20      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0808 FN 11/47 FIXED 4                          | CUSIP: 3140Q73S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80614 | PA      | $77821.81       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1701 FN 05/48 FIXED 4                          | CUSIP: 3140Q83K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1310845 | PA      | $1260377.69     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM5                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM5 A2B           | CUSIP: 59023FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20124396 | PA      | $2968555.69     | 0.00%             | 2037-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A B                      | CUSIP: ACI2Q4L43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     66160000 | PA      | $78001606.30    | 0.04%             | 2067-08-22      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q41914 FG 07/46 FIXED 3.5                | CUSIP: 3132WFDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1418385 | PA      | $1326600.00     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREENSTATE AUTO RECEIVABLES TRUST 2024-1A                                        | GREENSTATE AUTO RECEIVABLES TR GRNST 2024 1A A2 144A       | CUSIP: 39573AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7221693 | PA      | $7234567.99     | 0.00%             | 2027-08-16      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88000 07/10/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4508532.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB5360 FN 06/27 FIXED 3                          | CUSIP: 31417B5W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14460 | PA      | $14319.48       | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST II 2007-1                                               | BEAR STEARNS ALT A TRUST II BSAAT 2007 1 1A1               | CUSIP: 07389KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17448555 | PA      | $8273066.65     | 0.00%             | 2047-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO5071 FN 06/27 FIXED 3                          | CUSIP: 3138LVT52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2999 | PA      | $2957.52        | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                                                                 | COSTAR GROUP INC COMPANY GUAR 144A 07/30 2.8               | CUSIP: 22160NAA7<br>LEI: 984500Q1D53D08E2E698 | Long             | DBT              | CORP              | US        |     29567000 | PA      | $27078965.33    | 0.01%             | 2030-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2963 FN 05/45 FIXED 4                          | CUSIP: 3138YGJH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27084 | PA      | $26107.51       | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG          | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     85923000 | PA      | $11169990.00    | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 SA 144A        | CUSIP: 12660QAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       309406 | PA      | $303633.12      | 0.00%             | 2061-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1          | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        61614 | PA      | $60143.20       | 0.00%             | 2035-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-CES2                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 CES2 A1A 144A     | CUSIP: 28225GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24043085 | PA      | $24310439.18    | 0.01%             | 2060-02-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 B2 144A      | CUSIP: 36265TAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12126000 | PA      | $10501042.03    | 0.01%             | 2061-06-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6674 FN 02/53 FIXED 5.5                        | CUSIP: 3140NBMY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       527759 | PA      | $533939.31      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A1 144A           | CUSIP: 61755AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3208407 | PA      | $1844070.58     | 0.00%             | 2037-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-527956.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY38 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $3088080.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1B         | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3924162 | PA      | $3365449.64     | 0.00%             | 2046-07-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2675 FN 07/31 FIXED 2.5                        | CUSIP: 31418B6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12915 | PA      | $12486.10       | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET E                                      | CUSIP: ACI01UGQ3<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GSAMP TRUST 2006-NC1                                                             | GSAMP TRUST GSAMP 2006 NC1 M1                              | CUSIP: 362334ED2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7527709 | PA      | $7315385.75     | 0.00%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G07849 FG 05/44 FIXED 3.5                | CUSIP: 3128MABS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95548 | PA      | $90295.92       | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 11A1          | CUSIP: 466278AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28654682 | PA      | $14571627.77    | 0.01%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5807 FN 04/48 FIXED VAR                        | CUSIP: 3140JANZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43763209 | PA      | $40749595.20    | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8821 FN 02/47 FIXED 4                          | CUSIP: 3138WJYT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       184885 | PA      | $177911.05      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 621586 FN 12/31 FIXED 6.5                        | CUSIP: 31389CRF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16668 | PA      | $17230.60       | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5111 FN 12/53 FIXED 6.5                        | CUSIP: 3140A5VD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7159417 | PA      | $7506563.23     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX5                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX5 A4           | CUSIP: 74924QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9265677 | PA      | $8343187.00     | 0.00%             | 2036-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                                     | LEHMAN MORTGAGE TRUST LMT 2007 8 2A2                       | CUSIP: 52521YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4650438 | PA      | $1839340.01     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 RPL1 A1           | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30361412 | PA      | $29675492.96    | 0.01%             | 2064-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW1280 FN 07/29 FIXED 3                          | CUSIP: 3138XQM65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44211 | PA      | $43520.53       | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TAUPE FUNDING TRUST I 2024-1A                                                    | TAUPE FUNDING TRUST TAUPE 2024 1A B 144A                   | CUSIP: 876692AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12606500 | PA      | $12818475.78    | 0.01%             | 2031-08-20      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 3 2CA1                    | CUSIP: 81744MAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2461311 | PA      | $1869741.93     | 0.00%             | 2037-07-20      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-43                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 43 IO              | CUSIP: 38378KDF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2714175 | PA      | $566.18         | 0.00%             | 2048-08-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA7078 FR 06/39 FIXED 3.5                | CUSIP: 31329Q2K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38412 | PA      | $36954.10       | 0.00%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A8            | CUSIP: 576433WN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11780 | PA      | $11312.00       | 0.00%             | 2034-11-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-AR1                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 AR1 M2            | CUSIP: 86359DVX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6293124 | PA      | $6052318.72     | 0.00%             | 2035-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL4                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL4 PT 144A      | CUSIP: 36272VAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148017908 | PA      | $136238568.66   | 0.07%             | 2065-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL7 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL7 A1 144A      | CUSIP: 740934AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41080377 | PA      | $41233171.68    | 0.02%             | 2055-07-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4079159.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEX BONOS DESARR FIX RT BONDS 05/31 7.75                   | CUSIP: 975UCXII2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5392900000 | PA      | $287482929.26   | 0.14%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-3                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 3 1CB3           | CUSIP: 9393365A7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2474273 | PA      | $2091916.72     | 0.00%             | 2035-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-100                                                       | FANNIE MAE FNR 2012 100 UI                                 | CUSIP: 3136A8PW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1312268 | PA      | $25023.24       | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A R 144A                         | CUSIP: ACI2SPFW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3100845 | PA      | $3921602.10     | 0.00%             | 2066-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8351 FN 02/48 FIXED 4                          | CUSIP: 3140FUH50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       197979 | PA      | $190599.86      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-9                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2024 9 A11 144A             | CUSIP: 46593DAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38007134 | PA      | $38112288.01    | 0.02%             | 2055-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2024-1A                                               | BOFA AUTO TRUST BAAT 2024 1A A3 144A                       | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19075000 | PA      | $19267729.99    | 0.01%             | 2028-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA3640 FN 06/49 FIXED 4                          | CUSIP: 3140QBBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       176826 | PA      | $169445.54      | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                                | CIM TRUST CIM 2024 R1 B1 144A                              | CUSIP: 17179VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10533000 | PA      | $8730909.03     | 0.00%             | 2064-06-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA8715 FN 06/39 FIXED 4                          | CUSIP: 31416SVH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39267 | PA      | $38657.68       | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG7652 G2 06/48 FIXED 4                       | CUSIP: 3617GSQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       864937 | PA      | $824128.49      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3343 FN 02/30 FIXED VAR                        | CUSIP: 3140X6WD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35888 | PA      | $35274.76       | 0.00%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-9                                                         | FANNIE MAE FNR 2008 9 SA                                   | CUSIP: 31396YGT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3241263 | PA      | $393622.88      | 0.00%             | 2038-02-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6355 FN 04/47 FIXED 3.5                        | CUSIP: 3140FSBZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27683 | PA      | $25868.20       | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST2004-36CB                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 36CB 2A3         | CUSIP: 12667FR56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       240014 | PA      | $235802.77      | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAYVIEW OPPORTUNITY MASTER FUND VII TRUST 2024-SN1                               | BOF URSA FUNDING BVABS 2024 SN1 A3 144A                    | CUSIP: 072926AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14843521 | PA      | $14908906.74    | 0.01%             | 2028-03-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 6A1          | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1879195 | PA      | $1781661.41     | 0.00%             | 2035-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BCD TR 2005-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2005 B M6             | CUSIP: 456606GY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8950000 | PA      | $8868733.11     | 0.00%             | 2035-08-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A C 144A         | CUSIP: 21055PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35905953 | PA      | $37334615.10    | 0.02%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2025-1A                                                         | FIRST HELP FINANCIAL LLC FHF 2025 1A A2 144A               | CUSIP: 30340RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40603834 | PA      | $40545848.11    | 0.02%             | 2031-02-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-WF4                                             | STRUCTURED ASSET SECURITIES CO SASC 2005 WF4 M6            | CUSIP: 863576DL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       695021 | PA      | $694167.31      | 0.00%             | 2035-11-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 489310 GN 09/28 FIXED 6.1                        | CUSIP: 36210DR78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5847 | PA      | $5919.17        | 0.00%             | 2028-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0695 FN 08/47 FIXED 3.5                        | CUSIP: 3140Q7XZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1618430 | PA      | $1513185.70     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-562241.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5110 FR 05/41 FIXED 1.5                | CUSIP: 3133KYVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       698629 | PA      | $591016.86      | 0.00%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA3708 FN 10/53 FIXED 6.5                        | CUSIP: 3140A4DN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1935552 | PA      | $2020022.63     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD8529 FN 08/40 FIXED 4.5                        | CUSIP: 31418WPP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8198 | PA      | $8214.60        | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4321 G2 03/47 FIXED 3.5                     | CUSIP: 36179SYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       182925 | PA      | $170058.04      | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2006-OPT1                                             | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT1 M2           | CUSIP: 40430HDF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5592635 | PA      | $5392178.42     | 0.00%             | 2035-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $3327916.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-38                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 38 A3            | CUSIP: 12667GZ30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7004270 | PA      | $6421099.03     | 0.00%             | 2035-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C09029 FG 03/43 FIXED 3                  | CUSIP: 31292SA67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6720 | PA      | $6191.32        | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1            | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        87878 | PA      | $70196.63       | 0.00%             | 2046-12-26      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-NC1                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 NC1 A5            | CUSIP: 86360PAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16773301 | PA      | $16542968.25    | 0.01%             | 2036-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE5                                                             | GSAMP TRUST GSAMP 2006 HE5 A1                              | CUSIP: 362437AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4083940 | PA      | $4014224.65     | 0.00%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL2                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL2 A1A 144A    | CUSIP: 161930AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34547323 | PA      | $31002847.15    | 0.02%             | 2064-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY6                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY6 3A1                   | CUSIP: 17025MAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12733802 | PA      | $11892903.72    | 0.01%             | 2037-11-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J5                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J5 2A1           | CUSIP: 12668EAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24305974 | PA      | $4763057.10     | 0.00%             | 2036-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-11                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 11 A8            | CUSIP: 93934FJC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2582227 | PA      | $2204456.69     | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A            | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8553 | PA      | $8651.49        | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB1377 FN 04/54 FIXED 6.5                        | CUSIP: 3140AAQ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       646837 | PA      | $669724.15      | 0.00%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A2 144A       | CUSIP: 64830NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9300000 | PA      | $8612902.05     | 0.00%             | 2059-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2978 FR 04/53 FIXED 6.5                | CUSIP: 3132DQJX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       187926 | PA      | $196097.11      | 0.00%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUNDING TR 2007-AR2                                            | BEAR STEARNS MORTGAGE FUNDING BSMF 2007 AR2 A1             | CUSIP: 07401TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39513760 | PA      | $35972267.76    | 0.02%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 H 2A1             | CUSIP: 05946XH55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1470796 | PA      | $1274088.20     | 0.00%             | 2035-11-20      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 481420 GN 08/28 FIXED 6.1                        | CUSIP: 36209TYR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14277 | PA      | $14528.77       | 0.00%             | 2028-08-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-HE1              | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE1 A4           | CUSIP: 04544RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5112084 | PA      | $5045594.58     | 0.00%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $3234508.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 475161 GN 06/28 FIXED 6.1                        | CUSIP: 36209LZ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14280 | PA      | $14497.45       | 0.00%             | 2028-06-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.97000 01/15/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1471050.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2169                                                                 | FREDDIE MAC FHR 2169 TB                                    | CUSIP: 3133TL5G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9841 | PA      | $10149.40       | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $1433042.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1960 FN 03/48 FIXED 3.5                        | CUSIP: 3140HFFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19321 | PA      | $17991.16       | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3022 FN 09/32 FIXED VAR                        | CUSIP: 3140X6LC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       366153 | PA      | $364141.07      | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT3                                               | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT3 M2           | CUSIP: 40430HFP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16250000 | PA      | $14116258.00    | 0.01%             | 2036-02-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-32CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 32CB 1A1         | CUSIP: 12667FP25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9818980 | PA      | $8128827.91     | 0.00%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ACQUISITION TR 2006-B                                          | BAYVIEW FINANCIAL ACQUISITION BAYV 2006 B M3               | CUSIP: 07325NDW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3555708 | PA      | $3566801.22     | 0.00%             | 2036-04-28      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2004-1                                           | AAMES MORTGAGE INVESTMENT TRUS AMIT 2004 1 M6              | CUSIP: 00252FAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       931282 | PA      | $910920.68      | 0.00%             | 2035-01-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| DEWOLF PARK CLO LTD 2017-1A                                                      | DEWOLF PARK CLO, LTD DWOLF 2017 1A AR 144A                 | CUSIP: 25211AAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3978926 | PA      | $3980942.68     | 0.00%             | 2030-10-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-WFH4                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH4 M3           | CUSIP: 17309SAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2359819.00     | 0.00%             | 2036-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1831 FN 10/46 FIXED 3.5                        | CUSIP: 3140FMA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15181 | PA      | $14175.49       | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $2429043.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                                           | LEHMAN XS TRUST LXS 2006 7 2A3A                            | CUSIP: 52522EAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1559106 | PA      | $1573094.41     | 0.00%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-80CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 80CB 1A1         | CUSIP: 12668BGC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8328277 | PA      | $7268503.73     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABSC MANUFACTURED HOUSING CONTRACT 2004-CN1                                      | ABSC MANUFACTURED HOUSING CONT ABSMH 2004 CN1 A2 144A      | CUSIP: 00081WAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3648937 | PA      | $3676445.53     | 0.00%             | 2030-12-02      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP CBK                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $8380.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-6                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 4A1A           | CUSIP: 41161UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       210985 | PA      | $180039.57      | 0.00%             | 2036-08-19      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A RC 144A                        | CUSIP: ACI2SP013<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        49708 | PA      | $2713562.38     | 0.00%             | 2066-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR             | CUSIP: 903724CF7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      3065463 | PA      | $1494413.21     | 0.00%             | 2035-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                   | CUSIP: 73110JAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     16100000 | PA      | $16695700.00    | 0.01%             | 2028-01-07      | Floating      | 14.43%                | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                             | GSAMP TRUST GSAMP 2007 FM1 A2C                             | CUSIP: 3622MAAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4757184 | PA      | $2355156.93     | 0.00%             | 2036-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.75 06/16/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $36957889.47    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251003                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $161450.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2003-A9                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A9 A3             | CUSIP: 45660NSY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       392778 | PA      | $369713.21      | 0.00%             | 2033-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.01500 12/30/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3394160.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0857 FN 06/47 FIXED 4.5                        | CUSIP: 3140FK5T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57518 | PA      | $57119.97       | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 01/30 0.875          | CUSIP: ACI235LV5<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     31400000 | PA      | $25463524.59    | 0.01%             | 2030-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2021-R6                                                                | CIM TRUST CIM 2021 R6 B1 144A                              | CUSIP: 12567RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5661000 | PA      | $5507509.91     | 0.00%             | 2061-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH0696 G2 06/48 FIXED 4                       | CUSIP: 3617GWXZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       254741 | PA      | $240863.23      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68400 01/03/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-168631.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0759 FN 09/41 FIXED VAR                        | CUSIP: 3138EGZZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       150584 | PA      | $150766.97      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM3236 FR 05/47 FIXED 4                  | CUSIP: 3131XWSZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       135884 | PA      | $130757.94      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-B TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 B R               | CUSIP: 83407KAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29610232 | PA      | $42406594.64    | 0.02%             | 2034-06-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2173 FN 01/41 FIXED 4                          | CUSIP: 31416XMX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       248169 | PA      | $241655.59      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $968062.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-12225243.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                                         | LEHMAN XS TRUST LXS 2006 16N A321                          | CUSIP: 52522DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7994248 | PA      | $7484655.05     | 0.00%             | 2046-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8363 FN 05/48 FIXED 4                          | CUSIP: 3140FUJH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5134 | PA      | $4952.49        | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 B3 144A        | CUSIP: 12594YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171363360 | PA      | $65559440.33    | 0.03%             | 2056-02-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003734 G2 07/35 FIXED 4.5                     | CUSIP: 36202EEF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2224 | PA      | $2238.57        | 0.00%             | 2035-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20251120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $14087.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB7                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB7 1A2                  | CUSIP: 12669GBZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        88815 | PA      | $85119.87       | 0.00%             | 2034-11-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 A 2A4             | CUSIP: 05952DAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2014433 | PA      | $1885997.16     | 0.00%             | 2047-02-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-4                                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 4 3A1             | CUSIP: 863579MS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       178024 | PA      | $160851.39      | 0.00%             | 2035-03-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7026 FN 04/46 FIXED 4                          | CUSIP: 3138WGYY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6756 | PA      | $6501.42        | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A3           | CUSIP: 93364EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16803895 | PA      | $14966085.32    | 0.01%             | 2037-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $3337410.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A B 144A                       | CUSIP: ACI2V5997<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     98285000 | PA      | $132529963.19   | 0.07%             | 2056-08-28      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-32057.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $6203.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6934 FR 02/53 FIXED 5                  | CUSIP: 3133BUV38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1900336 | PA      | $1896786.60     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 3A3          | CUSIP: 933637AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       914353 | PA      | $762906.81      | 0.00%             | 2037-01-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-238516.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15111618564 | PA      | $14978461025.86 | 7.39%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A2            | CUSIP: 43710EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       337686 | PA      | $190091.88      | 0.00%             | 2037-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A           | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22388539 | PA      | $19619795.30    | 0.01%             | 2046-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW3048 FN 04/44 FIXED 4.5                        | CUSIP: 3138XSL62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15647 | PA      | $15399.23       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER CLO LTD 2017-1A                                            | WIND RIVER CLO LTD WINDR 2017 1A ARR 144A                  | CUSIP: 97315TAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11250000 | PA      | $11270806.88    | 0.01%             | 2036-04-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-71128093.16   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR13                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR13 4A1          | CUSIP: 45660LRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1451480 | PA      | $1332174.71     | 0.00%             | 2035-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8020 FR 09/27 FIXED 3                  | CUSIP: 3132A84D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19369 | PA      | $19174.30       | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TIKEHAU CLO IX DAC 9A                                                            | TIKEHAU CLO IX DAC TIKEH 9A AR 144A                        | CUSIP: ACI2S1SP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     83700000 | PA      | $98525188.27    | 0.05%             | 2037-01-20      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A E 144A         | CUSIP: 21056DAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7172460 | PA      | $7287957.74     | 0.00%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-A                                                        | CENTEX HOME EQUITY CXHE 2005 A M3                          | CUSIP: 152314MK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       850996 | PA      | $837255.54      | 0.00%             | 2035-01-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08841 FG 10/48 FIXED 3.5                | CUSIP: 3128MJ5B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4763124 | PA      | $4416977.21     | 0.00%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 XS 144A        | CUSIP: 12662NAQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    443209539 | PA      | $19419669.18    | 0.01%             | 2061-05-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M3                                                    | ARGENT SECURITIES INC. ARSI 2006 M3 A2C                    | CUSIP: 03076MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9041784 | PA      | $2679754.17     | 0.00%             | 2036-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7772 FN 08/47 FIXED 3.5                        | CUSIP: 3140GWT60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67165 | PA      | $62581.74       | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SR UNSECURED 01/28 VAR            | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     11100000 | PA      | $10843501.09    | 0.01%             | 2028-01-11      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-X2                                        | AFFIRM INC AFFRM 2024 X2 A 144A                            | CUSIP: 00833QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9661029 | PA      | $9670219.11     | 0.00%             | 2029-12-17      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO8921 FN 01/50 FIXED 4                          | CUSIP: 3140K44F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       105115 | PA      | $101020.96      | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 2A3         | CUSIP: 94984MAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       313425 | PA      | $288660.14      | 0.00%             | 2036-10-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S4                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S4 A10           | CUSIP: 16162YAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       897313 | PA      | $359815.62      | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1069 FN 01/48 FIXED 4                          | CUSIP: 3140H2FK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46710 | PA      | $44908.89       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M3                                                    | ARGENT SECURITIES INC. ARSI 2006 M3 A2D                    | CUSIP: 03076MAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21398834 | PA      | $6341878.14     | 0.00%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7281 FN 09/28 FIXED 2                          | CUSIP: 3138WVCT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8782 | PA      | $8561.02        | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX-2021-LBA                                                                      | BX TRUST BX 2021 LBA AV 144A                               | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12385663 | PA      | $12386596.47    | 0.01%             | 2036-02-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR               | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     14928246 | PA      | $7852257.47     | 0.00%             | 2046-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745415 FN 01/36 FIXED VAR                        | CUSIP: 31403DDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          512 | PA      | $528.57         | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-359124.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC10 2A2A        | CUSIP: 23245FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1743662 | PA      | $2359024.72     | 0.00%             | 2036-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A3           | CUSIP: 44328AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7687181 | PA      | $2759260.63     | 0.00%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $77929.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC1                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC1 M2             | CUSIP: 126670XS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2726790 | PA      | $2713933.37     | 0.00%             | 2036-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 4A1B                 | CUSIP: 126694BQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124226 | PA      | $122524.51      | 0.00%             | 2035-10-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6175 FN 07/47 FIXED 3.5                        | CUSIP: 3140GU2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32611 | PA      | $30483.80       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1              | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4684094 | PA      | $4156026.03     | 0.00%             | 2046-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1B           | CUSIP: 92925CDB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4695931 | PA      | $4128738.82     | 0.00%             | 2046-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7885 FN 06/45 FIXED VAR                        | CUSIP: 3138EQXP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101744 | PA      | $97680.42       | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                     | HUNGARY SR UNSECURED 144A 09/30 5.375                      | CUSIP: 445545AV8<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     82200000 | PA      | $84648700.19    | 0.04%             | 2030-09-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 A2 144A       | CUSIP: 14687WAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5929531 | PA      | $5933883.36     | 0.00%             | 2027-12-10      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251007                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $64479.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A           | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8791219 | PA      | $8830820.55     | 0.00%             | 2040-07-16      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 SA 144A        | CUSIP: 12662NAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       200377 | PA      | $198358.38      | 0.00%             | 2061-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2014-LC15                          | COMM MORTGAGE TRUST COMM 2014 LC15 XB 144A                 | CUSIP: 12591TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6241168 | PA      | $62.41          | 0.00%             | 2047-04-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC XA 144A     | CUSIP: 465981AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217800000 | PA      | $2322738.99     | 0.00%             | 2040-10-05      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4259 FR 09/47 FIXED 4                  | CUSIP: 3131XXWU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       226815 | PA      | $218141.48      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9612 FN 11/43 FIXED VAR                        | CUSIP: 3138ERVE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21547 | PA      | $20362.82       | 0.00%             | 2043-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2022-C                                              | FORD CREDIT AUTO OWNER TRUST FORDO 2022 C A3               | CUSIP: 34535AAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       462684 | PA      | $462746.28      | 0.00%             | 2026-12-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.45500 11/01/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4069100.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-346.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3704 FR 11/26 FIXED 3                  | CUSIP: 3131X7DH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4895 | PA      | $4855.34        | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB2 2A           | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       148827 | PA      | $138777.27      | 0.00%             | 2034-03-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 3 A12                     | CUSIP: 12543RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       259226 | PA      | $117566.84      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-D                                                   | FREMONT HOME LOAN TRUST FHLT 2005 D M1                     | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2756670 | PA      | $2548832.03     | 0.00%             | 2035-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  DEC25 XCME 20260317                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2667 | NC      | $10218368.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-RMP1                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2007 RMP1 A2           | CUSIP: 25150MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1620494 | PA      | $1504369.77     | 0.00%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-1                                                | BELLA VISTA MORTGAGE TRUST BVMBS 2005 1 1A1                | CUSIP: 07820QBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       341753 | PA      | $325244.07      | 0.00%             | 2045-01-22      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 4A1M                | CUSIP: 46630PAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       281658 | PA      | $232223.24      | 0.00%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2007 AR2 5A1B                  | CUSIP: 3622N6AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1235049 | PA      | $1069598.59     | 0.00%             | 2037-05-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET C SHARES                               | CUSIP: ACI01UFF8<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45             | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     46785000 | PA      | $39308510.44    | 0.02%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-7N                                                          | LEHMAN XS TRUST LXS 2005 7N 1A1B                           | CUSIP: 525221EN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4910 | PA      | $3975.20        | 0.00%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A            | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280900000 | PA      | $281300984.75   | 0.14%             | 2065-06-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                                  | AVON FINANCE AVON 4A A 144A                                | CUSIP: ACI2JTXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     65442515 | PA      | $88211634.07    | 0.04%             | 2049-12-28      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR19 A7           | CUSIP: 929227ZT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25508 | PA      | $25023.26       | 0.00%             | 2033-02-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                                       | ARES CLO LTD ARES 2017 44A A1RR 144A                       | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    124950000 | PA      | $125110054.70   | 0.06%             | 2034-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5956 FN 05/27 FIXED VAR                        | CUSIP: 3138ENTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1947 | PA      | $1941.42        | 0.00%             | 2027-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $65535.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9301 G2 11/53 FIXED 3.5                     | CUSIP: 36179YKN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       434270 | PA      | $396966.17      | 0.00%             | 2053-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A2              | CUSIP: 86360WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27060083 | PA      | $20198455.17    | 0.01%             | 2036-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6343 FN 07/53 FIXED 6                          | CUSIP: 3140NPBM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3908141 | PA      | $4014526.68     | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR27                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR27 1A1          | CUSIP: 45660LN88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2022968 | PA      | $1179758.08     | 0.00%             | 2035-12-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2008-R3                                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R3 3A2 144A      | CUSIP: 466308AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15670000 | PA      | $1303331.10     | 0.00%             | 2037-05-26      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2005-NC1                                              | HSI ASSET SECURITIZATION CORPO HASC 2005 NC1 M4            | CUSIP: 40430HAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1614092 | PA      | $1492139.71     | 0.00%             | 2035-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-293169.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260521                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $26700.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 5A              | CUSIP: 86359BPD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3687 | PA      | $3646.87        | 0.00%             | 2034-04-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A3            | CUSIP: 46602UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74794924 | PA      | $25031766.85    | 0.01%             | 2037-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATIONS CORP.                                            | CONSECO FINANCE SECURITIZATION CNF 2000 6 A5               | CUSIP: 20846QFQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3217966 | PA      | $3276744.89     | 0.00%             | 2031-09-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SD1                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SD1 A1 144A        | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5382960 | PA      | $4245312.66     | 0.00%             | 2047-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2005-NC3                                               | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC3 M4            | CUSIP: 144531DB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2622524 | PA      | $2636866.84     | 0.00%             | 2035-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S5                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S5 1A9           | CUSIP: 161631AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       692079 | PA      | $300471.66      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY5036 FN 03/45 FIXED 4                          | CUSIP: 3138YJS23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84406 | PA      | $80556.29       | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                            | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875          | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8093518 | PA      | $7122295.84     | 0.00%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                | BX TRUST BX 2022 IND A 144A                                | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2402631 | PA      | $2405489.01     | 0.00%             | 2037-04-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-5                                          | THORNBURG MORTGAGE SECURITIES TMST 2003 5 2A               | CUSIP: 885220EC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       622377 | PA      | $568893.85      | 0.00%             | 2043-10-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                                      | WATR ISSUER TRUST WATR 2025 1 R 144A                       | CUSIP: 942611AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10851823 | PA      | $18504511.13    | 0.01%             | 2050-06-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA6849 FN 08/35 FIXED 3                          | CUSIP: 3140QETF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31242 | PA      | $30162.79       | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.75000 12/20/23-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $9938156.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ5035 FN 10/45 FIXED 4.5                        | CUSIP: 3138YWSZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       195040 | PA      | $192068.73      | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6565 FN 08/47 FIXED 4                          | CUSIP: 3140GVJK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18411 | PA      | $17705.81       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD7853 FN 06/30 FIXED 4.5                        | CUSIP: 31418VWP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       221493 | PA      | $222860.30      | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7195 G2 02/51 FIXED 3.5                     | CUSIP: 36179V7G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78556 | PA      | $72350.71       | 0.00%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S4                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S4 A3            | CUSIP: 16162YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       106363 | PA      | $42812.13       | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 1A20                | CUSIP: 46628YAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2144794 | PA      | $925099.15      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL4                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL4 SA 144A        | CUSIP: 12653MAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         9829 | PA      | $9424.72        | 0.00%             | 2058-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3309 FN 03/38 FIXED 3.5                        | CUSIP: 31418CVB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       277882 | PA      | $268068.27      | 0.00%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-5                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 5 A1                     | CUSIP: 43739ECB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1867280 | PA      | $1822135.00     | 0.00%             | 2036-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ3326 FN 11/41 FIXED 4                          | CUSIP: 3138AUVU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2152821 | PA      | $2095428.68     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.78000 05/02/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2571129.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 05/33 4.625             | CUSIP: ACI2THY21<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    130300000 | PA      | $157614059.02   | 0.08%             | 2033-05-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-AF2                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AF2 AV2B          | CUSIP: 59023NAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4990552 | PA      | $2770244.49     | 0.00%             | 2037-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7518 FR 06/50 FIXED 3                  | CUSIP: 3132DVK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    131865870 | PA      | $117967667.30   | 0.06%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.055 09/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-12902286.29   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                                      | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1           | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |       352007 | PA      | $440889.13      | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-A                                                        | CENTEX HOME EQUITY CXHE 2002 A AV                          | CUSIP: 152314EQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18026 | PA      | $17912.43       | 0.00%             | 2032-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 7 LLC/ABILENE DC 8 LLC                                                | PROJECT FLASH TERM LOAN 1                                  | CUSIP: BA000KZ61<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    570539587 | PA      | $570539586.54   | 0.28%             | 2030-04-30      | Floating      | 1.18%                 | No            |                  3 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB2                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB2 A 144A        | CUSIP: 054987AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    399220065 | PA      | $395541531.47   | 0.20%             | 2046-11-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6310 FN 12/45 FIXED 4.5                        | CUSIP: 3140EBAL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95749 | PA      | $94928.34       | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $202798.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2024-BA ASSET-BACKED NOTES              | FORD AUTO SECURITIZATION TRUST FASTR 2024 BA A3 144A       | CUSIP: 345214BV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     29300000 | PA      | $21368845.17    | 0.01%             | 2030-09-15      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2936 FN 09/44 FIXED 4                          | CUSIP: 3138Y4HN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1299 | PA      | $1263.65        | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB9543 FN 10/54 FIXED 7                          | CUSIP: 3140QVS96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999900 | PA      | $1048112.82     | 0.00%             | 2054-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.00000 12/21/22-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $235325396.63   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2024-HB1                                          | FINANCE OF AMERICA HECM BUYOUT FAHB 2024 HB1 A1A 144A      | CUSIP: 31737DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45223674 | PA      | $45104410.24    | 0.02%             | 2034-10-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-2 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1633285.97    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0464 FN 10/53 FIXED 6.5                        | CUSIP: 3140A0QS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38331 | PA      | $39708.20       | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE ISSUER TRUST 2025-B                                                 | AQUA FINANCE TRUST AQFIT 2025 B A 144A                     | CUSIP: 03837GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37719600 | PA      | $37969061.96    | 0.02%             | 2051-05-17      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-13                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 1A              | CUSIP: 126698AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8290053 | PA      | $8173250.70     | 0.00%             | 2047-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA3301 FN 10/53 FIXED 6                          | CUSIP: 3140A3U35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98590 | PA      | $101098.98      | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8350 FN 04/53 FIXED 4.5                        | CUSIP: 3140NDH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1806370 | PA      | $1763343.97     | 0.00%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA ALT LN TRUST 2004-6                                              | BANC OF AMERICA ALTERNATIVE LO BOAA 2004 6 2A1             | CUSIP: 05948KSG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2137557 | PA      | $2136815.95     | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A          | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       336266 | PA      | $218308.96      | 0.00%             | 2036-01-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-20865.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY7                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1                    | CUSIP: 12544HAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12474011 | PA      | $11842293.82    | 0.01%             | 2037-11-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T9                                                 | FANNIEMAE GRANTOR TRUST FNGT 2001 T9 A1                    | CUSIP: 313921FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       456840 | PA      | $453404.54      | 0.00%             | 2031-09-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.09000 04/30/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $11658261.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4014 FN 05/35 FIXED 3                          | CUSIP: 31418DN81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       214741 | PA      | $206895.25      | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6592 FN 12/46 FIXED 4                          | CUSIP: 3140FEKE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3427 | PA      | $3283.32        | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $485768.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-46                                                               | FANNIE MAE FNR 2001 46 ZL                                  | CUSIP: 313920XQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       210524 | PA      | $216243.64      | 0.00%             | 2031-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR1 TRUST                                             | PROGRESS RESIDENTIAL TRUST PROG 2022 SFR1 A 144A           | CUSIP: 74333YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10574815 | PA      | $10038713.02    | 0.00%             | 2041-02-17      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 1A1          | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1717549 | PA      | $1337850.12     | 0.00%             | 2037-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB2                                          | SPECIALTY UNDERWRITING + RESID SURF 2006 AB2 A2D           | CUSIP: 84751VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3372107 | PA      | $1700838.94     | 0.00%             | 2037-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 2A2            | CUSIP: 61745M4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       118143 | PA      | $105726.98      | 0.00%             | 2035-07-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2847 FR 06/27 FIXED 3                  | CUSIP: 31329LEU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45321 | PA      | $44881.27       | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-2                                             | MASTR REPERFORMING LOAN TRUST MARP 2005 2 1A1F 144A        | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1410386 | PA      | $679864.28      | 0.00%             | 2035-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1         | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48206 | PA      | $48907.00       | 0.00%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB8362 FR 02/51 FIXED 2.5                | CUSIP: 3133AFJF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4071194 | PA      | $3459482.95     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A B 144A             | CUSIP: ACI2DJDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     64660219 | PA      | $87078622.07    | 0.04%             | 2053-03-14      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL5                                    | GSMBS 2025 RPL5 SA 144A                                    | CUSIP: 990AARZW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1481512 | PA      | $1483812.95     | 0.00%             | 2075-09-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $1863667.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX--0A08AGAC8-20370825                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-522.66        | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF1             | CUSIP: 75970QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6639000 | PA      | $1687680.89     | 0.00%             | 2037-06-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-1                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 1 MV7              | CUSIP: 126673XD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6454334 | PA      | $6391496.66     | 0.00%             | 2035-07-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-4                                            | CONSECO FINANCE SECURITIZATION CNF 2000 4 A5               | CUSIP: 20846QDU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7163903 | PA      | $925686.64      | 0.00%             | 2032-05-01      | Fixed         | 7.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $3595469.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP CBK                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $5.49           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5965 FN 06/28 FIXED VAR                        | CUSIP: 3138ENTX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39169 | PA      | $38738.83       | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 B2 144A        | CUSIP: 12662NAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14392500 | PA      | $9603340.93     | 0.00%             | 2061-05-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-17674112.71   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE TRUST 2018-1A                                           | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 1A B4C 144A        | CUSIP: 64830GBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8662259 | PA      | $8221364.89     | 0.00%             | 2057-12-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3682 FN 07/31 FIXED 3.5                        | CUSIP: 3140FBCU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74734 | PA      | $73480.49       | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 WF2 M7            | CUSIP: 86359DDH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35412 | PA      | $34932.17       | 0.00%             | 2035-05-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX0992 FN 09/44 FIXED 4                          | CUSIP: 3138Y2C68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25264 | PA      | $24329.48       | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                                     | ACE SECURITIES CORP. ACE 2007 WM1 A2B                      | CUSIP: 004424AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26892201 | PA      | $11069303.41    | 0.01%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-3                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2025 3 A2             | CUSIP: 80288JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144300000 | PA      | $144778123.62   | 0.07%             | 2028-10-16      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE1                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE1 M1           | CUSIP: 46626LGG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9803944 | PA      | $10035897.18    | 0.00%             | 2036-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.00 9/15/23-29Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $40121912.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A D 144A                       | CUSIP: ACI2V58Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     44102000 | PA      | $59261284.76    | 0.03%             | 2056-08-28      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 M1 144A      | CUSIP: 36265TAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24253000 | PA      | $20518215.05    | 0.01%             | 2061-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2003-WMC3                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 WMC3 M3           | CUSIP: 5899292D9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       259060 | PA      | $257879.93      | 0.00%             | 2034-06-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 2A2          | CUSIP: 02150JAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7807822 | PA      | $3246672.69     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890696 FN 09/30 FIXED VAR                        | CUSIP: 31410LRR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4721 | PA      | $4631.65        | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ACQUISITION TR 2007-A                                          | BAYVIEW FINANCIAL ACQUISITION BAYV 2007 A 2A               | CUSIP: 07325VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2726455 | PA      | $2591334.29     | 0.00%             | 2037-05-28      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2005-S3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 S3 A14           | CUSIP: 16162WNQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       552709 | PA      | $391610.53      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $79073.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP6269 FN 05/50 FIXED 4                          | CUSIP: 3140KD6F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156673 | PA      | $148800.10      | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4797 FN 04/45 FIXED 3.5                        | CUSIP: 3138WEKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64594 | PA      | $60761.13       | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2B               | CUSIP: 61753KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23392864 | PA      | $9957984.43     | 0.00%             | 2037-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-23717521.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY44 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $269095299.43   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q61681 FG 02/49 FIXED 3.5                | CUSIP: 3132VM2P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       181832 | PA      | $171102.82      | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 3A1                   | CUSIP: 3623414F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3238 | PA      | $3901.06        | 0.00%             | 2036-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-4A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMS 2015 4A A1RR 144A      | CUSIP: 14311NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2598590 | PA      | $2602064.08     | 0.00%             | 2032-07-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7988 G2 04/52 FIXED 3                       | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    131914842 | PA      | $117889681.29   | 0.06%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TRUST-2005-11                                         | STRUCTURED ASSET INVESTMENT LO SAIL 2005 11 A3             | CUSIP: 86358EZP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       234110 | PA      | $231435.24      | 0.00%             | 2036-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 A1 144A         | CUSIP: 52473LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300033896 | PA      | $286730933.56   | 0.14%             | 2056-12-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A C 144A               | CUSIP: 193938AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14888058 | PA      | $15090676.52    | 0.01%             | 2055-05-25      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-12970263.32   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-25T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 25T1 A4          | CUSIP: 12667GRE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1067696 | PA      | $527442.72      | 0.00%             | 2035-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.3537 05/12/25-01/02/29 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $343139.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4775 FN 10/45 FIXED 3.5                        | CUSIP: 3138YWJV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4682 | PA      | $4391.33        | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE4                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE4 1A3          | CUSIP: 07388AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20031971 | PA      | $19403485.57    | 0.01%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4402 FN 01/47 FIXED 4                          | CUSIP: 3140FP3L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3718553 | PA      | $3577132.28     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2004-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2004 2 M1             | CUSIP: 68389FFG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1724938 | PA      | $1756884.18     | 0.00%             | 2034-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2290                                                                 | FREDDIE MAC FHR 2290 ZD                                    | CUSIP: 3133TRE68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       116382 | PA      | $118757.14      | 0.00%             | 2031-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-1                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 1 1A                 | CUSIP: 59020UNM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46958 | PA      | $46175.26       | 0.00%             | 2034-12-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A A 144A                       | CUSIP: ACI2V53L6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    676013430 | PA      | $909814886.29   | 0.45%             | 2056-08-28      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B C 144A           | CUSIP: 83206NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22139363 | PA      | $21956679.88    | 0.01%             | 2055-02-16      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3             | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       807445 | PA      | $806363.48      | 0.00%             | 2035-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                                     | BAYOU RE LTD UNSECURED 144A 04/31 VAR                      | CUSIP: 07304LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      6700000 | PA      | $7555590.00     | 0.00%             | 2031-04-30      | Floating      | 22.48%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2417                                                                 | FREDDIE MAC FHR 2417 CJ                                    | CUSIP: 31339D5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       134588 | PA      | $139738.86      | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECU 2005-HE6                                          | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE6 M3           | CUSIP: 073879YA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3161590 | PA      | $3175219.59     | 0.00%             | 2035-06-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                                 | SIERRA MADRE FUNDING LTD MADRE 2004 1A ALTB 144A           | CUSIP: 82639RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     19264936 | PA      | $10820632.76    | 0.01%             | 2039-09-07      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A Z 144A                         | CUSIP: ACI2P7X44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     33885000 | PA      | $35364651.83    | 0.02%             | 2062-11-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1             | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5445366 | PA      | $5392241.32     | 0.00%             | 2036-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2025-1A                             | ARIVO ACCEPTANCE AUTO LOAN REC ARIVO 2025 1A A2 144A       | CUSIP: 039962AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4700000 | PA      | $4705808.26     | 0.00%             | 2029-05-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8972 FN 03/47 FIXED 4                          | CUSIP: 3138WJ6J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68955 | PA      | $66329.33       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO4595 FN 06/42 FIXED 4                          | CUSIP: 3138LVC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6521 | PA      | $6348.02        | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.00000 06/15/22-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $56240148.30    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9563 FN 03/45 FIXED 4.5                        | CUSIP: 3138YBTV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       367129 | PA      | $364587.48      | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A2C           | CUSIP: 32029AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13146288 | PA      | $12113128.02    | 0.01%             | 2037-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A7           | CUSIP: 12668BNA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       650796 | PA      | $280628.59      | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S3 1A2           | CUSIP: 16162XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2031449 | PA      | $850914.61      | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847706 FH 01/35 FLOATING VAR             | CUSIP: 3128JRR32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8967 | PA      | $9142.48        | 0.00%             | 2035-01-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL5                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL5 SA 144A        | CUSIP: 12655JAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1122359 | PA      | $1030261.81     | 0.00%             | 2076-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST  2017-RP1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2017 RP1 SA 144A       | CUSIP: 17326JAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1233 | PA      | $1229.10        | 0.00%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY1                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY1 1A1                   | CUSIP: 12544EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1203290 | PA      | $1127605.87     | 0.00%             | 2037-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75          | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     18703192 | PA      | $28092610.68    | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 7A1                 | CUSIP: 46630GBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       426270 | PA      | $417508.90      | 0.00%             | 2035-07-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 5 A3             | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19400000 | PA      | $19444550.16    | 0.01%             | 2028-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2022-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2022 P3 A4            | CUSIP: 14686MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2000000 | PA      | $2015085.40     | 0.00%             | 2028-06-12      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA F 144A                       | CUSIP: ACI2N0NF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10725000 | PA      | $14275724.34    | 0.01%             | 2054-05-28      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1              | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     44031000 | PA      | $42335434.44    | 0.02%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9151 FN 04/53 FIXED 6                          | CUSIP: 3140NEEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1359719 | PA      | $1393542.28     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6126 FN 03/26 FIXED 3.5                        | CUSIP: 3138A7YY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5300 | PA      | $5271.99        | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9727 FN 04/53 FIXED 5                          | CUSIP: 3140NEYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1704790 | PA      | $1698446.00     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-6                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 6 A1              | CUSIP: 059526AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6538661 | PA      | $6289332.20     | 0.00%             | 2037-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                                | BLUE RIDGE RE LTD UNSECURED 144A 01/31 VAR                 | CUSIP: 096003AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     22908000 | PA      | $23748723.60    | 0.01%             | 2031-01-08      | Floating      | 9.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $125518.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8129 FN 01/48 FIXED 3.5                        | CUSIP: 3140HAA75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       191306 | PA      | $179956.10      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 A4 144A       | CUSIP: 17330EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750054841 | PA      | $682999263.41   | 0.34%             | 2061-08-01      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.183133 04/04/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-14099178.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.86000 04/24/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2408129.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-10                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 10 2A1A          | CUSIP: 41161PTN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       343730 | PA      | $222578.93      | 0.00%             | 2035-11-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0934 FN 11/46 FIXED 3.5                        | CUSIP: 3140FLBC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7733 | PA      | $7285.86        | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                                | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A              | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1100000 | PA      | $1093685.01     | 0.00%             | 2032-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| MSJP 2015-HAUL                                                                   | MSJP MSJP 2015 HAUL XA 144A                                | CUSIP: 553697AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52409555 | PA      | $979283.02      | 0.00%             | 2047-09-05      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2023-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2023 RP2 SA 144A       | CUSIP: 17331PAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       135611 | PA      | $134626.04      | 0.00%             | 2062-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO5023 FN 12/49 FIXED 3                          | CUSIP: 3140K0SM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94428688 | PA      | $84399683.83    | 0.04%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/29 2.5                                  | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     26972426 | PA      | $28192068.53    | 0.01%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3476 FN 12/52 FIXED 5.5                        | CUSIP: 3140N72J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3199121 | PA      | $3238249.43     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962686 FN 04/38 FIXED 4.5                        | CUSIP: 31414C6X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4322 | PA      | $4351.71        | 0.00%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP4                                                             | RAAC SERIES RAAC 2007 RP4 A 144A                           | CUSIP: 74919LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       915019 | PA      | $850123.48      | 0.00%             | 2046-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2832 FN 12/36 FIXED 3                          | CUSIP: 31418CEE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4417 | PA      | $4190.20        | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0468 FN 10/46 FIXED 3                          | CUSIP: 3140FKQW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11164 | PA      | $10105.09       | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M2            | CUSIP: 17307GP77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       207171 | PA      | $204520.65      | 0.00%             | 2035-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-52                                                               | FANNIE MAE FNR 2001 52 YZ                                  | CUSIP: 313921MN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1640 | PA      | $1708.96        | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 064731 FN 12/27 FLOATING VAR                     | CUSIP: 31362L4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          217 | PA      | $214.99         | 0.00%             | 2027-12-01      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2006-3X                                                      | NEWGATE FUNDING PLC NGATE 2006 3X A3A REGS                 | CUSIP: B1H0JWII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       859528 | PA      | $1137121.26     | 0.00%             | 2050-12-01      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1471 FN 09/40 FIXED 4.5                        | CUSIP: 31416WT51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2584 | PA      | $2588.23        | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3A            | CUSIP: 59024FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24448588 | PA      | $5750217.42     | 0.00%             | 2037-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 1 A13                     | CUSIP: 170255AX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10717 | PA      | $4706.12        | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A1          | CUSIP: 021468AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7081343 | PA      | $3790667.21     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2007-3XS                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 3XS 1A3A           | CUSIP: 61752RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5589707 | PA      | $2611211.03     | 0.00%             | 2047-01-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                                       | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A                  | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     94550000 | PA      | $94562778.43    | 0.05%             | 2034-07-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2549 FN 03/46 FIXED 3.5                        | CUSIP: 31418BZP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19298 | PA      | $18097.49       | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-322658.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-4                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 4 2A1            | CUSIP: 07384MVP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        42120 | PA      | $39312.86       | 0.00%             | 2033-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                              | BAMLL COML MTG SECS TR 2024 04/42 1                        | CUSIP: 05554WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116790000 | PA      | $97340575.89    | 0.05%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.17 04/01/24-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-23741158.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIZATION TRUST 2003-1                                       | MASTR SEASONED SECURITIZATION MSSTR 2003 1 3A1             | CUSIP: 55265WAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       101919 | PA      | $98466.61       | 0.00%             | 2033-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK-2018-BN10                                                                   | BANK BANK 2018 BN10 XB                                     | CUSIP: 065404BG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215517000 | PA      | $1693144.66     | 0.00%             | 2061-02-15      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5673 FN 07/47 FIXED 4                          | CUSIP: 3140GUJT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4376 | PA      | $4209.54        | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8145 FN 11/47 FIXED 4                          | CUSIP: 3140GXBP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       393598 | PA      | $379283.27      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A            | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33746765 | PA      | $34995995.55    | 0.02%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/40 2.125                                | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     75773685 | PA      | $76422491.12    | 0.04%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-109880.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH4857 FR 11/53 FIXED 6.5                | CUSIP: 3133CHME2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2520272 | PA      | $2612432.13     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QO2                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO2 A1            | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30973883 | PA      | $9511462.94     | 0.00%             | 2047-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2005-HE6                                             | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE6 M5           | CUSIP: 04541GTP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2580369 | PA      | $2514588.96     | 0.00%             | 2035-07-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                               | CUSIP: 21H0426B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1454321000 | PA      | $1409771206.56  | 0.70%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSMC MORTGAGE-BACKED TRUST 2006-5                                                | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 5 2A1               | CUSIP: 12637VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9748279 | PA      | $5578407.62     | 0.00%             | 2036-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                                  | ROLLS ROYCE PLC COMPANY GUAR REGS 02/26 4.625              | CUSIP: ACI1S5ZS2<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     45275000 | PA      | $53357872.69    | 0.03%             | 2026-02-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KSJ1                      | FHLMC MULTIFAMILY STRUCTURED P FHMS KSG1 X1                | CUSIP: 3137FXLY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    198475552 | PA      | $8808126.69     | 0.00%             | 2030-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7187 FN 03/47 FIXED 4                          | CUSIP: 3140FS6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145963 | PA      | $140411.55      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.40000 02/12/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $799847.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4964 FN 08/47 FIXED 3.5                        | CUSIP: 3140GTQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       118637 | PA      | $110860.42      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9027 FN 09/46 FIXED VAR                        | CUSIP: 3138ERA59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1978916 | PA      | $1889622.79     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-8761.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8699 FN 01/47 FIXED 4                          | CUSIP: 3138WJUZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1715178 | PA      | $1649949.82     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2024-NQM2                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2024 NQM2 SA 144A        | CUSIP: 06745JAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3653 | PA      | $3652.75        | 0.00%             | 2064-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-218439.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260326                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-709059.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-8XS                                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 8XS M1            | CUSIP: 863579NZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       446139 | PA      | $455770.03      | 0.00%             | 2035-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 06/48 4.625          | CUSIP: ACI025FP0<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     29100000 | PA      | $27398015.74    | 0.01%             | 2048-06-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-9XS                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 9XS M1            | CUSIP: 86359DDU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2412768 | PA      | $2354958.13     | 0.00%             | 2035-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2005-A4                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A4 2A2            | CUSIP: 59020UXK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       252176 | PA      | $227216.10      | 0.00%             | 2035-07-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8516 FN 03/53 FIXED 5.5                        | CUSIP: 3140NDPA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       710300 | PA      | $718965.03      | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEX BONOS DESARR FIX RT SR UNSECURED 05/29 8.5             | CUSIP: 929FKUII9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2444800000 | PA      | $135428850.63   | 0.07%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A A 144A                       | CUSIP: ACI2NG9C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    392545446 | PA      | $462113230.44   | 0.23%             | 2058-06-28      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-AR3                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR3 A4           | CUSIP: 94983UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        57330 | PA      | $50999.35       | 0.00%             | 2037-04-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9455 FN 04/47 FIXED 4                          | CUSIP: 3138WKQH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       461269 | PA      | $443725.47      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W2                                                    | ARGENT SECURITIES INC. ARSI 2005 W2 M1                     | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       576168 | PA      | $572271.28      | 0.00%             | 2035-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES COMPANY GUAR 06/27 4.5                      | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |       500000 | PA      | $500507.08      | 0.00%             | 2027-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $42860.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A F 144A                       | CUSIP: ACI2NGD22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      8964000 | PA      | $10242568.07    | 0.01%             | 2058-06-28      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-2                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 2 2A1             | CUSIP: 00703AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       216709 | PA      | $252240.04      | 0.00%             | 2037-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A               | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4180143 | PA      | $4225507.49     | 0.00%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| DAVIS SQUARE FUNDING LTD 2005-5A                                                 | DAVIS SQUARE FUNDING LTD DVSQ 2005 5A A2 144A              | CUSIP: 239156AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     44806219 | PA      | $10748877.54    | 0.01%             | 2040-10-08      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 3A1          | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       528099 | PA      | $436493.05      | 0.00%             | 2035-08-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE2                                                     | ACE SECURITIES CORP. ACE 2005 HE2 M6                       | CUSIP: 004421MH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3371000 | PA      | $3051664.16     | 0.00%             | 2035-04-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.59507 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-229953.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 2 A3               | CUSIP: 262103AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74300000 | PA      | $74332461.67    | 0.04%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH7239 G2 07/48 FIXED 4                       | CUSIP: 3617H5BG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       238035 | PA      | $225435.21      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL7 PT 144A      | CUSIP: 36273CAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71532120 | PA      | $64537838.40    | 0.03%             | 2064-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| M360 2021-CRE3 LLC                                                               | M360 LTD. M360 2021 CRE3 A 144A                            | CUSIP: 55379AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |        58732 | PA      | $57841.14       | 0.00%             | 2038-11-22      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 6 2A2 144A        | CUSIP: 17324AAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4249482 | PA      | $3833144.77     | 0.00%             | 2035-12-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-HR8                                          | MORGAN STANLEY CAPITAL I TRUST MSC 2020 HR8 XA             | CUSIP: 61692BBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96012654 | PA      | $6465588.12     | 0.00%             | 2053-07-15      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2224 G2 09/44 FIXED 4                       | CUSIP: 36179QPH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46931 | PA      | $45177.66       | 0.00%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 B3 144A         | CUSIP: 52474AAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132995080 | PA      | $95382236.04    | 0.05%             | 2058-02-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| NLT 2023-1 TRUST                                                                 | NMLT TRUST NLT 2023 1 A1 144A                              | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13605920 | PA      | $12419267.55    | 0.01%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP3322 FN 09/42 FIXED 4                          | CUSIP: 3138M6VQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       190933 | PA      | $185742.06      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 6A                                                  | ALESCO PREFERRED FUNDING LTD ALESC 6A A2 144A              | CUSIP: 01448XAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $4512500.00     | 0.00%             | 2035-03-23      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-978592.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1A           | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12661553 | PA      | $10532553.76    | 0.01%             | 2036-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR3                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR3 1A1B                | CUSIP: 23332UBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4753 | PA      | $4455.47        | 0.00%             | 2044-07-19      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0626C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    877000000 | PA      | $907545041.77   | 0.45%             | 2054-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.99400 07/02/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4761582.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-HE3                                     | MASTR ASSET BACKED SECURITIES MABS 2006 HE3 A2             | CUSIP: 57645JAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9792599 | PA      | $2814138.41     | 0.00%             | 2036-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0773 FN 12/25 FIXED 3.5                        | CUSIP: 3138A12F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          559 | PA      | $557.04         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-696799.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-2                                                    | GSAA HOME EQUITY TRUST GSAA 2007 2 AF4A                    | CUSIP: 3622EUAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9202594 | PA      | $2492225.41     | 0.00%             | 2037-03-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0049 FN 09/53 FIXED 6.5                        | CUSIP: 3140A0BT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1566911 | PA      | $1638502.31     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q45638 FG 01/47 FIXED 3                  | CUSIP: 3132WKHQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3921494 | PA      | $3550618.93     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 SA 144A       | CUSIP: 173114AR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       238570 | PA      | $236079.19      | 0.00%             | 2070-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.86000 02/21/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3673685.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-18                                                   | GSAA HOME EQUITY TRUST GSAA 2006 18 AF3A                   | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6815569 | PA      | $1864940.17     | 0.00%             | 2036-11-25      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2007-1                                                   | LUMINENT MORTGAGE TRUST LUM 2007 1 1A1                     | CUSIP: 55028CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1698548 | PA      | $1548823.78     | 0.00%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-16                                                   | GSAA HOME EQUITY TRUST GSAA 2006 16 A2                     | CUSIP: 362256AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35580603 | PA      | $8470343.36     | 0.00%             | 2036-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC DELAYED DRAW TERM LOAN                      | CUSIP: BA000D1C1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |     48024017 | PA      | $48024017.47    | 0.02%             | 2031-01-03      | Floating      | 1.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8471 FR 10/54 FIXED 6.5                | CUSIP: 3132DWMU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    169983036 | PA      | $175810185.05   | 0.09%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1                     | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        79730 | PA      | $79615.98       | 0.00%             | 2033-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BASIC ASSET BACKED SECURITIES TRUST 2006-1                                       | BASIC ASSET BACKED SECURITIES BASIC 2006 1 M1              | CUSIP: 06983NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7442773 | PA      | $7097472.20     | 0.00%             | 2036-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3933 FN 02/40 FIXED 2.5                        | CUSIP: 31418DLP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31407 | PA      | $28668.60       | 0.00%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                          | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 M1B 144A        | CUSIP: 288547AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35744000 | PA      | $32833566.25    | 0.02%             | 2037-05-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2007-4                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 4 1A1            | CUSIP: 41164YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7707386 | PA      | $7695127.06     | 0.00%             | 2037-07-19      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM8 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM8 A1 144A             | CUSIP: 67118CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22857864 | PA      | $23208352.46    | 0.01%             | 2063-09-25      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4090 FN 12/26 FIXED 3                          | CUSIP: 31417ARL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          747 | PA      | $741.32         | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE4                                               | MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A4             | CUSIP: 576449AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17664096 | PA      | $5200580.14     | 0.00%             | 2036-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $265337.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6656 FN 02/53 FIXED 6                          | CUSIP: 3140NBME8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1719760 | PA      | $1762677.28     | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7442 FR 03/26 FIXED 2                  | CUSIP: 3132A8HT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3470 | PA      | $3444.55        | 0.00%             | 2026-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-132243.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-G                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 G 1A1            | CUSIP: 05949CEA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       588417 | PA      | $544715.02      | 0.00%             | 2035-08-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1828 FN 10/47 FIXED 4                          | CUSIP: 3140H3A63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       379569 | PA      | $364719.58      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE6                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE6 A1            | CUSIP: 59023XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14011526 | PA      | $6850931.68     | 0.00%             | 2037-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q37294 FG 11/45 FIXED 3                  | CUSIP: 3132QUC84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69651 | PA      | $63337.86       | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 2A5              | CUSIP: 126673BR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       246852 | PA      | $239565.38      | 0.00%             | 2034-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL2 SA 144A         | CUSIP: 52474EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       444647 | PA      | $434360.94      | 0.00%             | 2057-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7          | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    715171000 | PA      | $225568111.66   | 0.11%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2013-8                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2013 8 2A2 144A        | CUSIP: 17321PAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       744387 | PA      | $493481.60      | 0.00%             | 2036-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-ALT1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 ALT1 A2            | CUSIP: 92978GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7730345 | PA      | $2651628.89     | 0.00%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS9204 FN 09/54 FIXED VAR                        | CUSIP: 3140XRGN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3999602 | PA      | $4137425.49     | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-1                                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 1A A2 144A        | CUSIP: 37988XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9836336 | PA      | $9910955.39     | 0.00%             | 2030-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A2           | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3177739 | PA      | $2609498.30     | 0.00%             | 2035-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2136 FN 01/45 FIXED 3.5                        | CUSIP: 31418BLS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4275 | PA      | $4021.48        | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0992 FN 12/47 FIXED 3.5                        | CUSIP: 3140H2C63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       117586 | PA      | $110707.47      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS6 A76           | CUSIP: 75116CDD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2173433 | PA      | $1637688.57     | 0.00%             | 2037-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0803 FN 11/47 FIXED 4                          | CUSIP: 3140H13M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173513 | PA      | $166222.33      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-9                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 9 2A1A           | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11149402 | PA      | $10398434.26    | 0.01%             | 2036-11-19      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| XBP GLOBAL HOLDINGS INC                                                          | XBP GLOBAL HOLDINGS INC COMMON STOCK USD.0001              | CUSIP: 98400V101<br>LEI: 984500BE0P94C4CD8C71 | Long             | EC               | CORP              | US        |       946912 | NS      | $764157.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-4                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 4 3A1                     | CUSIP: 81744JAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2406740 | PA      | $1628749.66     | 0.00%             | 2047-08-20      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2007-2                                                   | LUMINENT MORTGAGE TRUST LUM 2007 2 1A2                     | CUSIP: 55028EAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2501713 | PA      | $2445630.43     | 0.00%             | 2037-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-8AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 8AR 4A1            | CUSIP: 61748HEF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17814 | PA      | $17311.92       | 0.00%             | 2034-10-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/54 4.625                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1587700000 | PA      | $1560349390.69  | 0.77%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9579 FN 05/47 FIXED 3.5                        | CUSIP: 3138WKUD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       405453 | PA      | $379257.75      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT EDUCATION LOAN TRUST 2025-A                                              | NAVIENT EDUCATION LOAN TRUST NAVEL 2025 A A 144A           | CUSIP: 63943EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31709205 | PA      | $32057226.36    | 0.02%             | 2055-07-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL STATE OF ISRAEL                            | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     71300000 | PA      | $67588364.42    | 0.03%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 AIOS 144A     | CUSIP: 17329NAP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1294970255 | PA      | $8731531.19     | 0.00%             | 2065-03-01      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF10                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF10 M1            | CUSIP: 32027NMJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       929967 | PA      | $926143.11      | 0.00%             | 2034-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-G                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 G 1A1             | CUSIP: 05950MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4154264 | PA      | $4146607.78     | 0.00%             | 2036-07-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-711951.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-5F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 5F 4A1                    | CUSIP: 36242D6X6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       501839 | PA      | $484304.17      | 0.00%             | 2035-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-3A                                                         | FIRST HELP FINANCIAL LLC FHF 2024 3A A2 144A               | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21069810 | PA      | $21049882.35    | 0.01%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| PARALLEL 2021-1 LTD                                                              | PARALLEL LTD PARL 2021 1A AR 144A                          | CUSIP: 69916HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     74400000 | PA      | $74459520.00    | 0.04%             | 2034-07-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2024-C                                            | HYUNDAI AUTO RECEIVABLES TRUST HART 2024 C A3              | CUSIP: 448976AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77000000 | PA      | $77619726.80    | 0.04%             | 2029-05-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 05/29 VAR                        | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     54550000 | PA      | $55370786.03    | 0.03%             | 2029-05-16      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/27 3.3              | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     83737000 | PA      | $82644773.93    | 0.04%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-22T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 22T1 A4          | CUSIP: 12667GGR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1163302 | PA      | $626999.17      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2005-NC4                                               | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC4 M3            | CUSIP: 78514RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1033190 | PA      | $1027741.12     | 0.00%             | 2035-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2005-CB7                     | CREDIT BASED ASSET SERVICING A CBASS 2005 CB7 M2           | CUSIP: 12489WPM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2904560 | PA      | $2799316.08     | 0.00%             | 2035-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1382 FN 03/31 FIXED VAR                        | CUSIP: 3140J5RC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1084 | PA      | $1079.59        | 0.00%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                                     | ARI FLEET LEASE TRUST ARIFL 2025 A A2 144A                 | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26500000 | PA      | $26599947.40    | 0.01%             | 2034-01-17      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P3 A2            | CUSIP: 14688AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109703000 | PA      | $109738291.46   | 0.05%             | 2029-02-12      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR7                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR7 1A1           | CUSIP: 45670NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5891681 | PA      | $4861849.01     | 0.00%             | 2037-11-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-D                                                   | FREMONT HOME LOAN TRUST FHLT 2004 D M1                     | CUSIP: 35729PGC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1813183 | PA      | $1641128.93     | 0.00%             | 2034-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 01/34 2.625          | CUSIP: ACI0RZP43<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     23700000 | PA      | $21808701.11    | 0.01%             | 2034-01-24      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8874 FN 02/45 FIXED VAR                        | CUSIP: 3138ET2G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       117100 | PA      | $110554.92      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-6                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 6 A3                      | CUSIP: 126694K56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1443649 | PA      | $678323.05      | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-1                                                           | LEHMAN XS TRUST LXS 2005 1 3A3A                            | CUSIP: 86359DKT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       523120 | PA      | $471156.62      | 0.00%             | 2035-07-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2007-FF1                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2007 FF1 A2D            | CUSIP: 32028TAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       261107 | PA      | $143548.12      | 0.00%             | 2038-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD2888 FN 01/55 FIXED 7                          | CUSIP: 3140B3F64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       801606 | PA      | $840361.53      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2918 FN 11/48 FIXED 3                          | CUSIP: 3140QAG46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       320095 | PA      | $287024.30      | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP JPS                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $3951.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2005-11                                           | BANC OF AMERICA ALTERNATIVE LO BOAA 2005 11 1CB4           | CUSIP: 05948KU72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41841 | PA      | $38226.92       | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I 2007-SA4                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA4 5A1           | CUSIP: 74959AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2462403 | PA      | $2159440.72     | 0.00%             | 2037-10-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1Q0313 FH 09/37 FLOATING VAR             | CUSIP: 3128S4K22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          533 | PA      | $542.43         | 0.00%             | 2037-09-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY41 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $740521.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA8282 FR 03/50 FIXED 4                  | CUSIP: 3133A3FX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       850739 | PA      | $814187.54      | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2023-4A                                                   | MARLETTE FUNDING TRUST MFT 2023 4A A 144A                  | CUSIP: 57108UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12133625 | PA      | $12278315.70    | 0.01%             | 2033-12-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 1 1A1                  | CUSIP: 07386HFE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30460 | PA      | $28781.41       | 0.00%             | 2034-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2005-OPT1                                           | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 OPT1 M4          | CUSIP: 46626LAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16467126 | PA      | $15640199.34    | 0.01%             | 2035-06-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA2542 FR 08/49 FIXED 3                  | CUSIP: 31334YZF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       704379 | PA      | $629574.08      | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ1870 FN 06/45 FIXED 4                          | CUSIP: 3138YTCG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7962 | PA      | $7678.32        | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-11                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 11 AF6             | CUSIP: 126670CL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4412 | PA      | $4360.60        | 0.00%             | 2036-02-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-128185.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR3                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR3 A2            | CUSIP: 25151AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2754919 | PA      | $2521800.25     | 0.00%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-4R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 4R 4A4 144A         | CUSIP: 12645KCY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6803988 | PA      | $6626343.47     | 0.00%             | 2037-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                                | US RENAL CARE INC SR SECURED 144A 06/28 10.625             | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |      5107200 | PA      | $4468800.00     | 0.00%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.46000 04/01/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-1412913.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                          | BCAP LLC TRUST BCAP 2011 RR4 8A1 144A                      | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       653819 | PA      | $248468.31      | 0.00%             | 2036-02-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-8                                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 8 1A2             | CUSIP: 86359BWC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       631724 | PA      | $621093.44      | 0.00%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2005-HE5                                             | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE5 M4           | CUSIP: 04541GSL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3802686 | PA      | $3745710.11     | 0.00%             | 2035-06-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4498 FN 07/47 FIXED 3.5                        | CUSIP: 3140GS7L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27136 | PA      | $25360.31       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.71000 03/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $641024.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005-9                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 9 5A9             | CUSIP: 2254586G8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       122778 | PA      | $60498.61       | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0532 FN 10/47 FIXED 3.5                        | CUSIP: 3140Q7SW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       455589 | PA      | $424197.05      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3413 FN 07/38 FIXED 4                          | CUSIP: 31418CYK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       119329 | PA      | $117504.35      | 0.00%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-264873.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $139515.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 1A1              | CUSIP: 92977YBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48817 | PA      | $47155.53       | 0.00%             | 2035-10-20      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 14A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 14A A1 144A             | CUSIP: 014498AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9936795 | PA      | $9191535.06     | 0.00%             | 2037-09-23      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY STRUCTURED TRUST 2007-1                                           | MORGAN STANLEY STRUCTURED TRUS MSST 2007 1 A4              | CUSIP: 61755FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43397900 | PA      | $40083372.83    | 0.02%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1051 FN 01/48 FIXED 3.5                        | CUSIP: 3140Q8EZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       657408 | PA      | $611670.15      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2007-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 M1               | CUSIP: 65106FAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7785000 | PA      | $6793823.14     | 0.00%             | 2037-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-9                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 9 1A             | CUSIP: 54251WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39388333 | PA      | $21632099.99    | 0.01%             | 2036-10-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB0711 FN 06/51 FIXED 1.5                        | CUSIP: 3140QKYH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       162792 | PA      | $125488.49      | 0.00%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU5571 FN 02/55 FIXED 7                          | CUSIP: 3140M7FM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14327805 | PA      | $15037342.74    | 0.01%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 B5 144A      | CUSIP: 36263MCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1406019 | PA      | $1117852.49     | 0.00%             | 2052-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 1A21           | CUSIP: 007036TB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       464644 | PA      | $438746.44      | 0.00%             | 2036-01-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4465 FN 11/51 FIXED 2                          | CUSIP: 31418D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10741494 | PA      | $8715425.88     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2057 FN 10/44 FIXED 4                          | CUSIP: 31418BJB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        88715 | PA      | $85616.81       | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX1298 FN 11/52 FIXED 5.5                        | CUSIP: 3140N5NQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       406009 | PA      | $413802.03      | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                                          | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1           | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37019 | PA      | $35996.60       | 0.00%             | 2031-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3900 FN 11/26 FIXED 3                          | CUSIP: 31417AKN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10222 | PA      | $10139.78       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1             | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45771 | PA      | $39715.01       | 0.00%             | 2047-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0943 FN 12/40 FIXED 4                          | CUSIP: 3138A2BM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7174 | PA      | $7007.73        | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-2                                              | RBSSP RESECURITIZATION TRUST RBSSP 2010 2 14A2 144A        | CUSIP: 74929CDB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        77700 | PA      | $76192.78       | 0.00%             | 2045-08-26      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0835 FN 04/46 FIXED 4                          | CUSIP: 3140EU4V8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1570459 | PA      | $1511232.43     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRUPS FINANCIALS NOTE SECURITIZATION 2018-1A                                     | TRUPS FINANCIALS NOTE SECURITI TFINS 2018 1A A1 144A       | CUSIP: 89820UAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    155483827 | PA      | $154706408.14   | 0.08%             | 2039-03-30      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-16                                                               | FANNIE MAE FNR 2000 16 ZG                                  | CUSIP: 31359X3X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31085 | PA      | $33187.84       | 0.00%             | 2030-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-9                                                    | GSAA HOME EQUITY TRUST GSAA 2006 9 A4A                     | CUSIP: 362382AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2559333 | PA      | $648364.70      | 0.00%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA3667 FN 06/49 FIXED 4                          | CUSIP: 3140QBCD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5406517 | PA      | $5200934.18     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A3                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A3 2A             | CUSIP: 59020UHG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43721 | PA      | $39087.09       | 0.00%             | 2034-05-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL12                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP12 B1 144A        | CUSIP: 12655FAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237521850 | PA      | $208594016.38   | 0.10%             | 2060-10-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2004-12                                                    | BEAR STEARNS ALT A TRUST BALTA 2004 12 2A2                 | CUSIP: 07386HPE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       209563 | PA      | $192049.24      | 0.00%             | 2035-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 1 1A1            | CUSIP: 073880AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2382010 | PA      | $2128540.43     | 0.00%             | 2047-02-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 A1A 144A       | CUSIP: 12660QAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105432944 | PA      | $96634069.24    | 0.05%             | 2061-02-25      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 A5 144A       | CUSIP: 17329AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414552157 | PA      | $381738281.09   | 0.19%             | 2060-09-25      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-3CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 3CB 1A7          | CUSIP: 12667FX59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5708908 | PA      | $5089253.83     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251027                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-4743389.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 X 144A        | CUSIP: 17329YAQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    901443456 | PA      | $29264280.08    | 0.01%             | 2061-05-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-7                                                     | LEHMAN MORTGAGE TRUST LMT 2007 7 2A9                       | CUSIP: 52519BAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1083982 | PA      | $1032408.63     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894625 FN 11/36 FIXED 6.5                        | CUSIP: 31410Q4J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1827 | PA      | $1905.11        | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251218                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-359137.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60808 FG 10/46 FIXED 3                  | CUSIP: 31335A3R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6060 | PA      | $5494.28        | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURIT 06/48 1                       | CUSIP: ACI2PHN19<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     24419505 | PA      | $33105439.85    | 0.02%             | 2048-06-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-680121.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC7                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC7 3A2           | CUSIP: 86358ECW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          972 | PA      | $959.79         | 0.00%             | 2033-07-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80000 09/05/23-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3588521.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR1                                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR1 2A1            | CUSIP: 07401LAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6805054 | PA      | $6448496.21     | 0.00%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                                  | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 02/28 4.95      | CUSIP: 368266AT9<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     15900000 | PA      | $13356000.00    | 0.01%             | 2028-02-06      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $150025.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ1587 FN 06/45 FIXED 4                          | CUSIP: 3138YSXR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       193058 | PA      | $185671.28      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA9751 FN 03/54 FIXED 6.5                        | CUSIP: 3140YXZR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4752995 | PA      | $4939058.63     | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.06-2 SP MEI                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-324704.78     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2718 FN 05/47 FIXED 4                          | CUSIP: 3140GRAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30101 | PA      | $28954.92       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-A                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 A A4             | CUSIP: 456606KU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18294225 | PA      | $16759648.85    | 0.01%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3619 FN 05/47 FIXED 4                          | CUSIP: 3140FPAV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29332669 | PA      | $28217135.13    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 437734 FN 09/28 FIXED 6.5                        | CUSIP: 31380EHK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          273 | PA      | $282.24         | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE7                                           | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE7 M1           | CUSIP: 04541GMC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3813235 | PA      | $3839901.67     | 0.00%             | 2034-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2752 FN 12/47 FIXED 4.5                        | CUSIP: 3140FNBW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48532 | PA      | $47658.27       | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GREATAMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2024-2                       | GREAT AMERICA LEASING RECEIVAB GALC 2024 2 A2 144A         | CUSIP: 39154GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11629766 | PA      | $11694607.36    | 0.01%             | 2027-03-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA3607 FR 09/50 FIXED 3                  | CUSIP: 3133KKAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15662 | PA      | $14020.71       | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY6 A4           | CUSIP: 02151JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1535911 | PA      | $1302761.33     | 0.00%             | 2047-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 05/07/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1652796.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5752 FN 11/47 FIXED 3.5                        | CUSIP: 3140GUMA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2806297 | PA      | $2616708.08     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0947 FN 05/53 FIXED 6                          | CUSIP: 3140NHBR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4503580 | PA      | $4623037.86     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 08/33 VAR                   | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    203100000 | PA      | $224107542.89   | 0.11%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                        | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5       | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | LU        |    969400000 | PA      | $984726214.00   | 0.49%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251028                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $424068.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB1 AE 144A       | CUSIP: 05494AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1187949713 | PA      | $1166511556.85  | 0.58%             | 2056-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8102 FN 12/25 FIXED 3.5                        | CUSIP: 31419KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          535 | PA      | $533.48         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-66966.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2166 FN 08/48 FIXED 4.5                        | CUSIP: 3140Q9MQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23132 | PA      | $22857.02       | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOAL CAPITAL FUNDING TRUST-2015-1                                                | GOAL CAPITAL FUNDING TRUST GOAL 2015 1 A 144A              | CUSIP: 38021FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5070413 | PA      | $5025002.19     | 0.00%             | 2041-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| E-MAC NL04-I                                                                     | E MAC E MAC NL04 I A REGS                                  | CUSIP: B00YW1II9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |       157184 | PA      | $180846.57      | 0.00%             | 2036-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-66                                                        | FANNIE MAE FNR 2012 66 IA                                  | CUSIP: 3136A6ZP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       620716 | PA      | $9785.59        | 0.00%             | 2027-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1288 FN 01/46 FIXED 3.5                        | CUSIP: 3140EVNE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6428 | PA      | $6015.09        | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM1                                                     | ACE SECURITIES CORP. ACE 2006 FM1 A2B                      | CUSIP: 00441VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36944833 | PA      | $9038516.43     | 0.00%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625           | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     54600000 | PA      | $38220000.00    | 0.02%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2111 FR 01/29 FIXED 5                  | CUSIP: 31329KKY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6587 | PA      | $6572.89        | 0.00%             | 2029-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0381 FN 09/28 FIXED 3                          | CUSIP: 3138W9M72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       150705 | PA      | $148677.70      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30103151776 | PA      | $30749481195.18 | 15.18%            | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES2                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES2 A1A 144A        | CUSIP: 74938PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48421510 | PA      | $49043276.55    | 0.02%             | 2044-04-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08804 FG 03/48 FIXED 3.5                | CUSIP: 3128MJ3N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70269 | PA      | $65413.71       | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA4953 FR 07/47 FIXED 2.5                | CUSIP: 31329NQE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       167176 | PA      | $144605.98      | 0.00%             | 2047-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A          | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39343475 | PA      | $31181698.81    | 0.02%             | 2036-12-19      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE3 A5           | CUSIP: 46629VAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3608255 | PA      | $3309773.37     | 0.00%             | 2036-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2023 RPL2 PT 144A      | CUSIP: 36270PAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326719643 | PA      | $280066005.28   | 0.14%             | 2063-02-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR 144A      | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    108200000 | PA      | $108259887.62   | 0.05%             | 2034-07-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1103 FN 10/47 FIXED 4                          | CUSIP: 3140H2GM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       371077 | PA      | $357620.25      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S2 1A9           | CUSIP: 16163BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3125620 | PA      | $1134486.01     | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2012-8                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2012 8 3A2 144A        | CUSIP: 17319TAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2238177 | PA      | $2073088.97     | 0.00%             | 2037-09-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2007-A                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2007 A A3             | CUSIP: 73316NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7441801 | PA      | $6968935.73     | 0.00%             | 2047-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902382 FN 11/36 FIXED 6.5                        | CUSIP: 31411ARB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1128 | PA      | $1183.68        | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3580 FN 12/45 FIXED 4                          | CUSIP: 3140E76S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       146637 | PA      | $141061.44      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-OA1                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 OA1 1A1                   | CUSIP: 362631AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43700645 | PA      | $9068390.82     | 0.00%             | 2046-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS10                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS10 A11          | CUSIP: 751155AL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2888903 | PA      | $2273891.74     | 0.00%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC BARCLAYS PLC                                  | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     51700000 | PA      | $53725402.82    | 0.03%             | 2030-03-12      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB7                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 3A1                  | CUSIP: 126694GC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12578768 | PA      | $10773196.93    | 0.01%             | 2035-11-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RMS1                                              | STRUCTURED ASSET SECURITIES CO SASC 2005 RMS1 M1           | CUSIP: 86359B6S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2319697 | PA      | $2369822.05     | 0.00%             | 2035-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847557 FH 07/34 FLOATING VAR             | CUSIP: 3128JRME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13585 | PA      | $13993.67       | 0.00%             | 2034-07-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA1839 FN 03/45 FIXED VAR                        | CUSIP: 3140W2BH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1514152 | PA      | $1586405.73     | 0.00%             | 2045-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1833 FN 10/46 FIXED 3.5                        | CUSIP: 3140FMBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       358543 | PA      | $335637.94      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4709 FN 08/46 FIXED 3.5                        | CUSIP: 3140FCGT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46911 | PA      | $43895.18       | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                             | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 A11            | CUSIP: 86358EPB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1488839 | PA      | $1670914.01     | 0.00%             | 2034-11-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J5                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J5 1A1           | CUSIP: 12668EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2880882 | PA      | $1481508.43     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A F                              | CUSIP: ACI2P7X77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7030000 | PA      | $9574269.09     | 0.00%             | 2062-11-16      | Floating      | 9.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS5115 FN 06/53 FIXED VAR                        | CUSIP: 3140XLVH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1748196 | PA      | $1770198.68     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A3A              | CUSIP: 12638PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37819651 | PA      | $9269989.83     | 0.00%             | 2037-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6862 FN 08/53 FIXED 5                          | CUSIP: 3140QSTU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16235519 | PA      | $16179339.68    | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A1                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A1 A2A            | CUSIP: 59023MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50064812 | PA      | $15110130.89    | 0.01%             | 2037-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2651 FN 11/45 FIXED 3.5                        | CUSIP: 3140E65M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125230 | PA      | $117799.52      | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARCAN-2A                                                                         | ARCANO EURO CLO ARCAN 2A A 144A                            | CUSIP: ACI2YDJX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     91300000 | PA      | $107529623.54   | 0.05%             | 2039-07-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4582 FN 02/48 FIXED 4                          | CUSIP: 3140H6CU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1021048 | PA      | $981791.00      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT2                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT2 M3           | CUSIP: 83611MGK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8802000 | PA      | $6739310.27     | 0.00%             | 2035-08-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $352792.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR7 2A1           | CUSIP: 86364KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21223228 | PA      | $17125758.74    | 0.01%             | 2047-05-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ1                                              | PARK PLACE SECURITIES INC PPSI 2004 WHQ1 M5                | CUSIP: 70069FBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2610281 | PA      | $2539002.05     | 0.00%             | 2034-09-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR6 2A3           | CUSIP: 93363BAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3168114 | PA      | $2856542.82     | 0.00%             | 2036-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-NC3                                              | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC3 A3            | CUSIP: 144528AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4024011 | PA      | $3898082.81     | 0.00%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9247 FN 03/47 FIXED 4.5                        | CUSIP: 3140FVHZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22683 | PA      | $22422.87       | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7517 FN 01/27 FIXED 3                          | CUSIP: 3138E0K73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6026 | PA      | $5963.21        | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2126 FN 10/44 FIXED 4.5                        | CUSIP: 3138Y3LG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9568 | PA      | $9501.69        | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2022-INV2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 INV2 PT 144A      | CUSIP: 17330GCY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362178858 | PA      | $311640058.16   | 0.15%             | 2052-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR7 1A1           | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2418016 | PA      | $1984097.39     | 0.00%             | 2047-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-6                                              | RBSSP RESECURITIZATION TRUST RBSSP 2009 6 18A2 144A        | CUSIP: 74928XDH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1397403 | PA      | $1158358.03     | 0.00%             | 2036-12-26      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $478580.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735391 FN 12/34 FIXED VAR                        | CUSIP: 31402Q7C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          621 | PA      | $640.73         | 0.00%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC            | PREFERRED TERM XXIV SR SECURED 144A 03/37 VAR              | CUSIP: 74043CAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     43784966 | PA      | $41157868.19    | 0.02%             | 2037-03-22      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-3                                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 3A A1A 144A        | CUSIP: 64830EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15394051 | PA      | $14902464.68    | 0.01%             | 2058-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0125 FN 05/30 FIXED VAR                        | CUSIP: 3140XFD73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7474047 | PA      | $7394359.99     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-217499.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                                        | ROMARK CLO LTD RMRK 2021 4A A1R 144A                       | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     69000000 | PA      | $69000000.00    | 0.03%             | 2034-07-10      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-6                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 6 A 144A          | CUSIP: 69548KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5386760 | PA      | $5425709.71     | 0.00%             | 2031-11-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8875 G2 05/53 FIXED 3.5                     | CUSIP: 36179X2G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2459321 | PA      | $2264412.63     | 0.00%             | 2053-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-A                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 A M3              | CUSIP: 63860HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8000000 | PA      | $7308664.80     | 0.00%             | 2037-03-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED 144A 10/29 5.5                 | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     34165000 | PA      | $29721375.40    | 0.01%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-18197.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A A1 144A        | CUSIP: 210928AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34184654 | PA      | $34334711.05    | 0.02%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                                       | PRJCT ALFA INVSTINDUSTRAL VIII 2025 EUR TERM LOAN 2        | CUSIP: BA000GNP1<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | GB        |     33547500 | PA      | $39386464.60    | 0.02%             | 2026-02-27      | Floating      | 4.12%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8945 FN 08/47 FIXED 3.5                        | CUSIP: 3140GX5F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       473638 | PA      | $442690.22      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2024-3A LTD                                                      | ATLANTIC AVENUE LTD MCCP 2024 3A A 144A                    | CUSIP: 04822JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     83300000 | PA      | $83404125.00    | 0.04%             | 2035-01-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.40000 10/17/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1518800.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI1888 FN 05/41 FIXED 4.5                        | CUSIP: 3138AFC24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3873 | PA      | $3877.24        | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-AR1                                               | HSI ASSET LOAN OBLIGATION HALO 2007 AR1 4A1                | CUSIP: 40431LAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2110445 | PA      | $1611024.43     | 0.00%             | 2037-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIII LTD / PREFERRED TERM SECURITIES XXIII INC        | PREFERRED TERM XXIII SECURED 144A 12/36 VAR                | CUSIP: 74043AAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      6537062 | PA      | $5589188.19     | 0.00%             | 2036-12-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 M1                | CUSIP: 617451DS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15700000 | PA      | $13122779.06    | 0.01%             | 2036-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2004-BC5                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 BC5 M7             | CUSIP: 126673PU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       570207 | PA      | $563735.05      | 0.00%             | 2034-10-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                                | ALASKA AIRLINES 2020 TR PASS THRU CE 144A 02/29 4.8        | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25554879 | PA      | $25614138.20    | 0.01%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8463 FR 09/54 FIXED 6                  | CUSIP: 3132DWML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31097721 | PA      | $31799021.00    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2446 G2 12/44 FIXED 4                       | CUSIP: 36179QWF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10369 | PA      | $9977.85        | 0.00%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AS.6 SP MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $124.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A3                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A3 1A4            | CUSIP: 12567AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       334112 | PA      | $293827.02      | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                      | CUSIP: 05494AAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18798000 | PA      | $13364851.66    | 0.01%             | 2056-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A3                | CUSIP: 61755CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9793806 | PA      | $8912368.40     | 0.00%             | 2037-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A      | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70400000 | PA      | $74581337.60    | 0.04%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA R 144A                       | CUSIP: ACI2QV5J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     20467000 | PA      | $22845086.21    | 0.01%             | 2055-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-3                                                | IMPAC SECURED ASSETS CORP. IMSA 2007 3 A1C                 | CUSIP: 45257VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7157854 | PA      | $6282454.42     | 0.00%             | 2037-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.27750 09/16/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $367574.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | AUST 10Y BOND FUT DEC25 XSFE 20251215                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         4655 | NC      | $-1216238.11    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 2A3                 | CUSIP: 46630PAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       357426 | PA      | $267964.09      | 0.00%             | 2037-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0275 FN 10/47 FIXED 4.5                        | CUSIP: 3140H1JV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       310964 | PA      | $307204.68      | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A21          | CUSIP: 92922FD47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1292044 | PA      | $1290745.06     | 0.00%             | 2045-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-B                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 B A3                 | CUSIP: 59020UBW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31041 | PA      | $28499.32       | 0.00%             | 2029-05-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-2PL                                                          | ACHV ABS TRUST ACHV 2024 2PL A 144A                        | CUSIP: 00092HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6066275 | PA      | $6105303.48     | 0.00%             | 2031-10-27      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 6 31A1                 | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4087316 | PA      | $2324425.48     | 0.00%             | 2036-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 10/34 VAR                                     | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     42300000 | PA      | $47206756.01    | 0.02%             | 2034-10-19      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A2                    | CUSIP: 12669FX73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        82580 | PA      | $81151.80       | 0.00%             | 2034-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                     | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2732830 | PA      | $2703415.72     | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF2             | CUSIP: 75971EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12328819 | PA      | $3931246.15     | 0.00%             | 2036-11-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-6                                                 | AEGIS ASSET BACKED SECURITIES AABST 2004 6 M2              | CUSIP: 00764MDY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       246212 | PA      | $235512.96      | 0.00%             | 2035-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7165 FN 04/47 FIXED 4                          | CUSIP: 3140FE6B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       276751 | PA      | $266225.88      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1           | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31485 | PA      | $30035.30       | 0.00%             | 2035-12-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-10                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 10 2A4           | CUSIP: 54251YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11749215 | PA      | $3499094.86     | 0.00%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/41 2.125                                | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     19028661 | PA      | $19027761.32    | 0.01%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIII 2019-2A                                                    | SOUND POINT CLO LTD SNDPT 2019 2A AR 144A                  | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13000000 | PA      | $13022750.00    | 0.01%             | 2034-07-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                           | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 FAME A 144A       | CUSIP: 63873VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000000 | PA      | $9224844.00     | 0.00%             | 2036-08-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH2876 FN 02/26 FIXED 3.5                        | CUSIP: 3138A4FS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39910 | PA      | $39747.24       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                                     | ACE SECURITIES CORP. ACE 2007 WM1 A2C                      | CUSIP: 004424AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5989630 | PA      | $2464256.54     | 0.00%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP MEI                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $186.74         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM2300 FR 12/46 FIXED 4                  | CUSIP: 3131XVRV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43592 | PA      | $41527.46       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84111 FG 03/48 FIXED 3.5                | CUSIP: 3132L9R80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       832090 | PA      | $778588.20      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 11 A1A           | CUSIP: 41162GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1408898 | PA      | $1264953.57     | 0.00%             | 2036-12-19      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE3 A1           | CUSIP: 46629VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8511231 | PA      | $8037033.50     | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4383 FN 03/49 FIXED 4                          | CUSIP: 3140JL2R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       514998 | PA      | $493870.80      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4425 FN 01/49 FIXED 4.5                        | CUSIP: 3140JL4K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145146 | PA      | $142752.86      | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H03                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H03 FA             | CUSIP: 38376RNM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1024575 | PA      | $1026674.07     | 0.00%             | 2066-01-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4971 FN 02/48 FIXED 3.5                        | CUSIP: 3140H6QZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28327 | PA      | $26318.28       | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0162 FN 02/48 FIXED 4                          | CUSIP: 3140HDFC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1422954 | PA      | $1366240.15     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-414731.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $10529.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1967 FN 03/48 FIXED 4                          | CUSIP: 3140HFFH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3262018 | PA      | $3128185.50     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-HE2                                                             | GSAMP TRUST GSAMP 2007 HE2 A2D                             | CUSIP: 362440AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1852372 | PA      | $1403292.81     | 0.00%             | 2047-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $5109087.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH5196 FR 11/53 FIXED 6.5                | CUSIP: 3133CHXZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5128604 | PA      | $5317301.72     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $4349928.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA3845 FN 03/39 FIXED 4.5                        | CUSIP: 31416MHX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2135 | PA      | $2142.41        | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/31 0.125                                | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     24322032 | PA      | $22846173.53    | 0.01%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $1100036.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08670 FG 10/45 FIXED 3                  | CUSIP: 3128MJW89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38896 | PA      | $35305.79       | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3           | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28844796 | PA      | $19401422.10    | 0.01%             | 2037-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5016 FN 02/43 FIXED 6.5                        | CUSIP: 31418ESE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       134802 | PA      | $143619.28      | 0.00%             | 2043-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2C               | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38901974 | PA      | $16562040.99    | 0.01%             | 2037-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2007-3                                                   | BNC MORTGAGE LOAN TRUST BNCMT 2007 3 A1                    | CUSIP: 05568QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5358100 | PA      | $4967278.14     | 0.00%             | 2037-07-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A R                      | CUSIP: ACI2Q4L01<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      1830000 | PA      | $63910144.71    | 0.03%             | 2067-08-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY6310 FN 02/45 FIXED 4                          | CUSIP: 3138YLAL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75730 | PA      | $72913.43       | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2005                                         | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 8 A11            | CUSIP: 05949CGY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       311249 | PA      | $276611.88      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251229                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1724698.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.52738 09/03/24-25Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2125049.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FOUNDATION FINANCE TRUST 2025-2A                                                 | FOUNDATION FINANCE TRUST FFIN 2025 2A A 144A               | CUSIP: 35042NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15969133 | PA      | $16051738.17    | 0.01%             | 2052-04-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-2A                                                          | REACH FINANCIAL LLC REACH 2025 2A A 144A                   | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59389428 | PA      | $59641458.59    | 0.03%             | 2032-08-18      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2006-2                                              | MASTR SPECIALIZED LOAN TRUST MASD 2006 2 A 144A            | CUSIP: 57643AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1001955 | PA      | $986088.95      | 0.00%             | 2036-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP CBK                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $687173.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S6                                                              | GSAMP TRUST GSAMP 2006 S6 A1B                              | CUSIP: 36245CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1494312 | PA      | $6958.12        | 0.00%             | 2036-10-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                                      | REPUBLIC OF PANAMA EUR TERM LOAN 2                         | CUSIP: BA000HCH9<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | NUSS              | IE        |    451800000 | PA      | $534574535.84   | 0.26%             | 2027-04-01      | Floating      | 4.55%                 | No            |                  3 | On Loan: No      |
| AFC HOME EQUITY LOAN TRUST 1999-1                                                | AFC HOME EQUITY LOAN TRUST AFC 1999 1 1A1                  | CUSIP: 00105HDX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        70460 | PA      | $68935.64       | 0.00%             | 2029-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/18/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $9385019.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5011 FN 05/45 FIXED 3.5                        | CUSIP: 3138WER92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23916 | PA      | $22418.03       | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 2A2          | CUSIP: 83613AAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3102598 | PA      | $2620515.16     | 0.00%             | 2037-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A4            | CUSIP: 68403FAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2804445 | PA      | $1595533.46     | 0.00%             | 2037-04-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BF0266 G2 05/48 FIXED 4                       | CUSIP: 3617G6JK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       171192 | PA      | $161865.62      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A3            | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34800000 | PA      | $35045545.32    | 0.02%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.12 SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $25338.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-9                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 9 2A3            | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47028238 | PA      | $14710738.51    | 0.01%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2006-1                                            | AMERICAN HOME MORTGAGE INVESTM AHM 2006 1 2A3              | CUSIP: 02660TJG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       257561 | PA      | $88257.04       | 0.00%             | 2035-12-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                                | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 05/35 9.75      | CUSIP: P7807HAQ8<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     43640000 | PA      | $7964300.00     | 0.00%             | 2035-05-17      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-6                                                    | GSAA HOME EQUITY TRUST GSAA 2007 6 1A2                     | CUSIP: 36245RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5116612 | PA      | $2996191.51     | 0.00%             | 2047-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HLDG S A COMMON STOCK                              | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |        23011 | NS      | $498571.67      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF16                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF16 2A3           | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4672946 | PA      | $1898957.98     | 0.00%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) DEC25 XCBT 20251231                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       301153 | NC      | $59332495.64    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FP0007 FN 01/27 FIXED VAR                        | CUSIP: 3140XTAH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       113107 | PA      | $112196.88      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A1A          | CUSIP: 46629NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1835021 | PA      | $1817014.93     | 0.00%             | 2036-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 5A1           | CUSIP: 92925VAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11788845 | PA      | $11002688.54    | 0.01%             | 2037-02-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5981 FN 02/47 FIXED 4                          | CUSIP: 3140FRUF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2617 | PA      | $2528.26        | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9983 FN 01/45 FIXED 4                          | CUSIP: 3138YCCV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       650729 | PA      | $630016.35      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                                   | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A             | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     34520966 | PA      | $34538255.49    | 0.02%             | 2029-10-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A               | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16680761 | PA      | $14827433.19    | 0.01%             | 2047-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE6942 FN 11/25 FIXED 3.5                        | CUSIP: 31419HWC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          316 | PA      | $315.23         | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                                            | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A            | CUSIP: 36829JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2355 | PA      | $999.72         | 0.00%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10                                | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS10 MI2          | CUSIP: 76112BDW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       428357 | PA      | $428822.77      | 0.00%             | 2034-10-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                                     | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A                   | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26500000 | PA      | $26312517.80    | 0.01%             | 2036-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXV LTD                                                | PREFERRED TERM SECS XXV SR SECURED 144A 06/37 VAR          | CUSIP: 74042FAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     48367009 | PA      | $40628287.81    | 0.02%             | 2037-06-22      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A1            | CUSIP: 59023QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42541579 | PA      | $12039709.23    | 0.01%             | 2037-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                             | GSAMP TRUST GSAMP 2006 FM3 A1                              | CUSIP: 36245TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33330860 | PA      | $15491953.67    | 0.01%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.4 10/15/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-9231866.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A9                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A9 2A1E           | CUSIP: 59020U2H7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       692661 | PA      | $669196.54      | 0.00%             | 2035-12-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0976 FN 02/32 FIXED 3.5                        | CUSIP: 31418ACN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13091 | PA      | $12872.83       | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR19 A8           | CUSIP: 929227ZU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        92998 | PA      | $91230.60       | 0.00%             | 2033-02-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2423                                                                 | FREDDIE MAC FHR 2423 MT                                    | CUSIP: 31339WCD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5135 | PA      | $5387.24        | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QS15                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS15 1A           | CUSIP: 761118KG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5297215 | PA      | $1623135.06     | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP JPS                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1042095.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A Y 144A                                 | CUSIP: ACI12JZ43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         6277 | PA      | $13612957.86    | 0.01%             | 2045-02-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC7 A1           | CUSIP: 07384YPH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3350634 | PA      | $2796526.58     | 0.00%             | 2034-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3340 FN 05/35 FIXED VAR                        | CUSIP: 3140X6WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1237192 | PA      | $1217206.81     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A Z 144A                       | CUSIP: ACI2NGCK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     63499000 | PA      | $23232714.30    | 0.01%             | 2058-06-28      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A3            | CUSIP: 14689MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91400000 | PA      | $92147633.72    | 0.05%             | 2030-05-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9921 FN 03/48 FIXED 4                          | CUSIP: 3140HCAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4329556 | PA      | $4151501.43     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.7* 07/28/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $17802072.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1          | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4880710 | PA      | $4241505.28     | 0.00%             | 2037-01-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46272 FG 02/47 FIXED 3                  | CUSIP: 3132WK6J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12576068 | PA      | $11386719.94    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2870 FN 03/50 FIXED VAR                        | CUSIP: 3140X6FL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16925413 | PA      | $15209779.20    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08769 FG 07/47 FIXED 3                  | CUSIP: 3128MJ2B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6183 | PA      | $5598.57        | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A Z 144A             | CUSIP: ACI2DJD92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7747495 | PA      | $10575635.17    | 0.01%             | 2053-03-14      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4027 FN 05/40 FIXED 3.5                        | CUSIP: 31418DPM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1388219 | PA      | $1329628.42     | 0.00%             | 2040-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA6725 FN 12/53 FIXED 6.5                        | CUSIP: 3140A7PK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1083812 | PA      | $1139467.87     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q62642 FG 03/49 FIXED 3.5                | CUSIP: 3132VN5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       285418 | PA      | $264657.53      | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-33                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 33 4A1           | CUSIP: 12667FA70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3497119 | PA      | $3497430.68     | 0.00%             | 2034-12-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A2                | CUSIP: 61755CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12188633 | PA      | $11092024.02    | 0.01%             | 2037-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2006-HE6                                           | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE6 M1           | CUSIP: 04544NAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35220842 | PA      | $34362724.54    | 0.02%             | 2036-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7762 FN 05/55 FIXED 6.5                        | CUSIP: 3140B8TU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1999800 | PA      | $2073390.22     | 0.00%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8117 FR 07/33 FIXED 3                  | CUSIP: 3132A9AS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       171248 | PA      | $166958.00      | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-3                                               | HOME EQUITY ASSET TRUST HEAT 2005 3 M6                     | CUSIP: 437084KV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2609741 | PA      | $2571474.64     | 0.00%             | 2035-08-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1191 FN 11/47 FIXED 3.5                        | CUSIP: 3140Q8KD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       942904 | PA      | $876671.46      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7426 FN 11/53 FIXED 6.5                        | CUSIP: 3140QTHC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58951 | PA      | $61253.93       | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-4                                          | THORNBURG MORTGAGE SECURITIES TMST 2004 4 2A               | CUSIP: 885220GD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3676263 | PA      | $3519859.39     | 0.00%             | 2044-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING 2015-R1                                                  | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R1 A2 144A        | CUSIP: 059527AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28010893 | PA      | $21903187.50    | 0.01%             | 2037-05-26      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY LOAN TRUST 2006-A                                             | CENTEX HOME EQUITY CXHE 2006 A M2                          | CUSIP: 15231AAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18744436 | PA      | $18557029.61    | 0.01%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22902.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ3                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ3 M6                | CUSIP: 70069FJU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4641000 | PA      | $4059866.51     | 0.00%             | 2035-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1940 FN 12/25 FIXED 3.5                        | CUSIP: 31416XEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1266 | PA      | $1261.50        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1                  | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       463650 | PA      | $433228.20      | 0.00%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1011 FN 09/53 FIXED 6.5                        | CUSIP: 3140A1DR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18745613 | PA      | $19428280.54    | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-3                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 3 M4              | CUSIP: 86358ERY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17440000 | PA      | $16549794.38    | 0.01%             | 2035-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3184 FN 11/47 FIXED 4.5                        | CUSIP: 31418CRE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12360 | PA      | $12168.39       | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2004-13                                                    | BEAR STEARNS ALT A TRUST BALTA 2004 13 M1                  | CUSIP: 07386HPZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4254442 | PA      | $3652369.54     | 0.00%             | 2034-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $70225.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG9232 G2 05/48 FIXED 4                       | CUSIP: 3617GUHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       414449 | PA      | $391872.42      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5119 FN 08/47 FIXED 3.5                        | CUSIP: 3140GTVM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20749 | PA      | $19360.82       | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $1824602.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY3521 FN 06/53 FIXED 5.5                        | CUSIP: 3140NK4F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121632 | PA      | $123102.76      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSAB MTGE BACKED PASS-THRU CERTS 2006-1                                          | CSAB MORTGAGE BACKED TRUST CSAB 2006 1 A6A                 | CUSIP: 22943HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       198131 | PA      | $46571.88       | 0.00%             | 2036-06-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR7 TRUST                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR7 A7            | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       108282 | PA      | $107851.77      | 0.00%             | 2033-08-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB8                     | CREDIT BASED ASSET SERVICING A CBASS 2004 CB8 M2           | CUSIP: 59020UPS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1708801 | PA      | $1645275.43     | 0.00%             | 2035-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.10500 04/24/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $8232794.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-4                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2005 4 3A1              | CUSIP: 02660TGS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       136494 | PA      | $95317.04       | 0.00%             | 2045-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP9757 FN 08/35 FIXED 3                          | CUSIP: 3140KHZX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       177644 | PA      | $171924.30      | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-1A                                                         | FIRST HELP FINANCIAL LLC FHF 2024 1A A2 144A               | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15307607 | PA      | $15445023.70    | 0.01%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 07/36 4.375          | CUSIP: B839Q3II7<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     27175000 | PA      | $25511328.99    | 0.01%             | 2036-07-03      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2001-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2001 AR5 1A            | CUSIP: 22540VLE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        74764 | PA      | $73821.66       | 0.00%             | 2039-12-19      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-2A                                        | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 2A A2 144A        | CUSIP: 379924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19940112 | PA      | $20196733.61    | 0.01%             | 2030-06-17      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 788791 FH 11/29 FLOATING VAR             | CUSIP: 31295MXU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1886 | PA      | $1874.42        | 0.00%             | 2029-11-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-2                                                | BELLA VISTA MORTGAGE TRUST BVMBS 2005 2 2A1                | CUSIP: 07820QCD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        90125 | PA      | $57768.80       | 0.00%             | 2045-05-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP2 PT 144A       | CUSIP: 17332KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377016743 | PA      | $333728057.69   | 0.16%             | 2065-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51769 FG 11/47 FIXED 3.5                | CUSIP: 3132XT6F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7819888 | PA      | $7290007.34     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE2                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE2 M1          | CUSIP: 46626LHB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2468233 | PA      | $2448831.94     | 0.00%             | 2036-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0461 FN 07/30 FIXED 4.5                        | CUSIP: 31417YQP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          839 | PA      | $842.35         | 0.00%             | 2030-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54777 FG 03/48 FIXED 3.5                | CUSIP: 3132XXJX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10739 | PA      | $10003.99       | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVC SEC 2005-CB5                                            | CREDIT BASED ASSET SERVICING A CBASS 2005 CB5 M2           | CUSIP: 12489WNA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6548099 | PA      | $6250012.27     | 0.00%             | 2035-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                               | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A4 144A           | CUSIP: 30336CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6700000 | PA      | $6857821.18     | 0.00%             | 2030-04-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2016-3A                                                     | BLUEMOUNTAIN CLO LTD BLUEM 2016 3A A1R2 144A               | CUSIP: 09628VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6154514 | PA      | $6159533.96     | 0.00%             | 2030-11-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2003-A                                                        | CENTEX HOME EQUITY CXHE 2003 A M2                          | CUSIP: 152314GS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        54632 | PA      | $54200.79       | 0.00%             | 2033-03-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4826                                                          | FREDDIE MAC FHR 4826 NI                                    | CUSIP: 3137FH5A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       430977 | PA      | $68368.18       | 0.00%             | 2048-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMJA MORTGAGE LN TR 2007-A3                                              | INDYMAC IMJA MORTGAGE LOAN TRU IMJA 2007 A3 A1             | CUSIP: 456669AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1846296 | PA      | $724889.02      | 0.00%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 2 1A1             | CUSIP: 17307GQY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       411334 | PA      | $394829.81      | 0.00%             | 2035-05-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A BR 144A         | CUSIP: 05685AAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12400000 | PA      | $12396135.91    | 0.01%             | 2034-10-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73000 08/03/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $717990.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK8313 FN 09/48 FIXED 3.5                        | CUSIP: 3140HNGX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       305572 | PA      | $287441.95      | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-4                                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 4A B2 144A         | CUSIP: 64830WAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13786720 | PA      | $13525143.22    | 0.01%             | 2058-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 07/30 1.75                          | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     82700000 | PA      | $85385425.57    | 0.04%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES3                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES3 A1 144A           | CUSIP: 89183EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53802315 | PA      | $54522857.14    | 0.03%             | 2064-05-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA2                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA2 4A            | CUSIP: 74958XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       305407 | PA      | $265085.13      | 0.00%             | 2037-04-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A2 144A      | CUSIP: 17312GAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23150030 | PA      | $16185086.39    | 0.01%             | 2037-05-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2007-FA4                                            | FIRST HORIZON ALTERNATIVE MORT FHAMS 2007 FA4 1A8          | CUSIP: 32052WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        79556 | PA      | $27024.70       | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $76353.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-R1                                                                | CIM TRUST CIM 2019 R1 A 144A                               | CUSIP: 12555VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58625738 | PA      | $53803512.89    | 0.03%             | 2058-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIII LTD / PREFERRED TERM SECURITIES XXIII INC        | PREFERRED TERM XXIII SR SECURED 144A 12/36 VAR             | CUSIP: 74043AAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     24311287 | PA      | $20786150.44    | 0.01%             | 2036-12-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                              | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C               | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1984501 | PA      | $1670941.99     | 0.00%             | 2036-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF5             | CUSIP: 75971EAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       683346 | PA      | $239091.69      | 0.00%             | 2036-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 B4 144A        | CUSIP: 12660QAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31081001 | PA      | $13240065.08    | 0.01%             | 2061-02-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9717 FN 01/47 FIXED VAR                        | CUSIP: 3138ERYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       241297 | PA      | $231645.99      | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7930 FN 09/46 FIXED 3.5                        | CUSIP: 3138WHY48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31550 | PA      | $29508.49       | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-2                                | BEAR STEARNS ASSET BACKED SECU BSABS 2007 2 A3             | CUSIP: 07400TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8906616 | PA      | $8790361.10     | 0.00%             | 2047-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-18R                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 18R 4A4 144A        | CUSIP: 22944JDG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1142999 | PA      | $1118308.15     | 0.00%             | 2038-04-26      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1151 FN 04/48 FIXED 4.5                        | CUSIP: 3140HEH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       374638 | PA      | $372118.50      | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-378773.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                              | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR               | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      8900000 | PA      | $9267125.00     | 0.00%             | 2032-06-07      | Floating      | 11.07%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2217 FN 03/45 FIXED 4                          | CUSIP: 31418BPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       547212 | PA      | $527425.02      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 1A1                 | CUSIP: 46631JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       191403 | PA      | $150759.22      | 0.00%             | 2037-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR8                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR8 2A2A          | CUSIP: 45660N2J3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3906 | PA      | $3636.76        | 0.00%             | 2034-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-OA5                                                  | COUNTRYWIDE HOME LOANS CWHL 2006 OA5 3A1                   | CUSIP: 126694N46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       232529 | PA      | $225960.82      | 0.00%             | 2046-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q41020 FG 06/46 FIXED 3                  | CUSIP: 3132WED25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5342552 | PA      | $4840671.25     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-153                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 153 SE             | CUSIP: 38380HA69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6842618 | PA      | $960937.59      | 0.00%             | 2047-10-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8551 FR 03/53 FIXED 5.5                | CUSIP: 3133BWQC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       175314 | PA      | $177878.27      | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4201 FN 10/46 FIXED 3.5                        | CUSIP: 3140FBU32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       147941 | PA      | $138352.18      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-3                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 3 M9               | CUSIP: 29445FCF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       985274 | PA      | $863014.98      | 0.00%             | 2034-12-25      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 2A3          | CUSIP: 933637AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1584407 | PA      | $1364761.04     | 0.00%             | 2037-01-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ5380 FN 11/41 FIXED 4                          | CUSIP: 3138AW6S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82545 | PA      | $80327.66       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-2                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 2 A2B            | CUSIP: 59024QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13389688 | PA      | $9727340.47     | 0.00%             | 2037-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2007-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 2A3              | CUSIP: 65106FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1896001 | PA      | $1885980.29     | 0.00%             | 2037-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                             | COLLEGE AVE STUDENT LOANS CASL 2023 B C 144A               | CUSIP: 19425MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15346414 | PA      | $16023965.48    | 0.01%             | 2054-06-25      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                     | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/27 6.5         | CUSIP: ACI2L7WC1<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      1374793 | PA      | $209655.93      | 0.00%             | 2027-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A2           | CUSIP: 00075VAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5831721 | PA      | $3462648.84     | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 454138 GN 04/28 FIXED 6.49                       | CUSIP: 36208LPX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18177 | PA      | $18326.04       | 0.00%             | 2028-04-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6338 FN 04/46 FIXED 4                          | CUSIP: 3140F2BG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       251187 | PA      | $240702.76      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4788 FN 10/45 FIXED 4                          | CUSIP: 3138YWKA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       980675 | PA      | $944704.98      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.59400 01/09/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $396646.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2025-3                             | BRIDGECREST LENDING AUTO SECUR BLAST 2025 3 A2             | CUSIP: 107920AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13600000 | PA      | $13624550.72    | 0.01%             | 2028-02-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5875 G2 04/49 FIXED 3.5                     | CUSIP: 36179UQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15557 | PA      | $14323.43       | 0.00%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0624 FN 10/47 FIXED 3.5                        | CUSIP: 3140Q7VS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4926577 | PA      | $4593774.42     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA8                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA8 CB11          | CUSIP: 761118BP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4305606 | PA      | $2954674.80     | 0.00%             | 2035-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| LANDMARK MORTGAGE SEC PLC 2                                                      | LANDMARK MORTGAGE SECURITIES P LMS 2 AC REGS               | CUSIP: G53709AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       671818 | PA      | $775991.05      | 0.00%             | 2039-06-17      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190445 FN 03/55 FIXED VAR                        | CUSIP: 31368HP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    169983097 | PA      | $175810124.26   | 0.09%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                             | GSAMP TRUST GSAMP 2006 FM3 A2A                             | CUSIP: 36245TAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       889478 | PA      | $415577.66      | 0.00%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2024-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2024 CP1 A1 144A              | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11160104 | PA      | $10376458.37    | 0.01%             | 2068-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4710 FR 03/47 FIXED 4.5                | CUSIP: 3132A5GT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2980 | PA      | $2952.42        | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A A 144A             | CUSIP: ACI2DJCV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     85752162 | PA      | $115483567.83   | 0.06%             | 2053-03-14      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q59852 FG 11/48 FIXED 3.5                | CUSIP: 3132Y35N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54754 | PA      | $50700.46       | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH9694 FN 04/26 FIXED 4                          | CUSIP: 3138ABXY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1077 | PA      | $1072.20        | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC9785 FN 08/46 FIXED 3.5                        | CUSIP: 3140F52T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       302831 | PA      | $283043.54      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255970 FN 10/25 FIXED 6                          | CUSIP: 31371MJP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           43 | PA      | $42.41          | 0.00%             | 2025-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2024-2                                                    | OPORTUN FUNDING LLC OPTN 2024 2 A 144A                     | CUSIP: 68377KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4660534 | PA      | $4665568.33     | 0.00%             | 2032-02-09      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                                  | REPUBLIC OF VENEZUELA SR UNSECURED REGS 05/28 9.25         | CUSIP: P17625AB3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     75546000 | PA      | $17496453.60    | 0.01%             | 2028-05-07      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-390834.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM4                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM4 PT 144A      | CUSIP: 617930AP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257707759 | PA      | $268289883.55   | 0.13%             | 2069-11-25      | Fixed         | 8.06%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A        | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     58800000 | PA      | $69034178.96    | 0.03%             | 2035-07-15      | Floating      | 2.96%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH2943 FR 10/53 FIXED 6.5                | CUSIP: 3133CFHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29229 | PA      | $30374.03       | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N1 F 144A        | CUSIP: 14687DAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2181035 | PA      | $2168932.41     | 0.00%             | 2028-01-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-AR5                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR5 2A7A          | CUSIP: 17309FBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21828 | PA      | $31312.45       | 0.00%             | 2036-07-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A2            | CUSIP: 68401TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36754070 | PA      | $18260958.23    | 0.01%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A15                                  | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A15 A6            | CUSIP: 76114DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3333223 | PA      | $1039654.20     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/31 3.625                         | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     40180000 | PA      | $38510729.53    | 0.02%             | 2031-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R6                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R6 M4             | CUSIP: 03072SG58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2782000 | PA      | $2710477.01     | 0.00%             | 2035-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $7562.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.42000 03/07/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-656016.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3433 FN 10/41 FIXED VAR                        | CUSIP: 3138EKY74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20692 | PA      | $20283.59       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5250 FR 01/48 FIXED 4                  | CUSIP: 31329NZP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64480 | PA      | $61817.07       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 8/16/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-10068072.59   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1478122.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.65000 08/14/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-1450905.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI5856 FN 07/41 FIXED 4.5                        | CUSIP: 3138AKQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4672 | PA      | $4649.73        | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3287 FN 11/47 FIXED 4                          | CUSIP: 3140H4UM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3316717 | PA      | $3188847.27     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.45000 11/01/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6351298.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-193896.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2886 FN 05/50 FIXED VAR                        | CUSIP: 3140X6F48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     76461403 | PA      | $68474804.14    | 0.03%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG35 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-482026.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8059 FR 08/35 FIXED 3                  | CUSIP: 3132D55U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44736 | PA      | $43101.02       | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5.5 JUMBOS                               | CUSIP: 21H0526B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    210000000 | PA      | $211448034.00   | 0.10%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4A                   | CUSIP: 12669FY23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        38251 | PA      | $37092.30       | 0.00%             | 2034-09-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S4                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S4 A4            | CUSIP: 466302AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1875252 | PA      | $1895248.89     | 0.00%             | 2036-12-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-70CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 70CB A1          | CUSIP: 12668A2K0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17966828 | PA      | $10260352.28    | 0.01%             | 2035-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK2411 FN 02/42 FIXED 4                          | CUSIP: 3138E6VD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7650894 | PA      | $7453256.83     | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN7756 FN 09/49 FIXED 3                          | CUSIP: 3140JQTN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14043273 | PA      | $12586571.56    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-6231368.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-22                                                               | FANNIE MAE FNR 1998 22 FA                                  | CUSIP: 31359RY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           33 | PA      | $32.84          | 0.00%             | 2028-04-18      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2007-HE1                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2007 HE1 A3            | CUSIP: 45073DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31656650 | PA      | $6508800.27     | 0.00%             | 2037-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FINASTRA USA INC                                                                 | FINASTRA USA INC 2023 REVOLVER                             | CUSIP: 953PAWII3<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |      5733083 | PA      | $5771293.70     | 0.00%             | 2029-09-13      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-BAR1                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2007 BAR1 A3           | CUSIP: 25151TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14413919 | PA      | $6757369.39     | 0.00%             | 2037-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1179 FN 06/47 FIXED 4                          | CUSIP: 3140GPJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3460386 | PA      | $3328798.43     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR3                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR3 A1            | CUSIP: 25151AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3177987 | PA      | $2906668.07     | 0.00%             | 2036-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AA.07-1 SP ULO                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1916.42       | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-9                                    | STRUCTURED ASSET INVESTMENT LO SAIL 2004 9 M3              | CUSIP: 86358EMV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2171074 | PA      | $2198423.60     | 0.00%             | 2034-10-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF6             | CUSIP: 75970QAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8523250 | PA      | $2161347.05     | 0.00%             | 2037-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A4             | CUSIP: 55275RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6168970 | PA      | $2954499.25     | 0.00%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS SECOND LIEN TR 2007-1                                               | BEAR STEARNS SECOND LIEN TRUST BSSLT 2007 1 1A             | CUSIP: 07401WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       460874 | PA      | $454476.08      | 0.00%             | 2037-01-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-55184.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1306 FN 07/48 FIXED VAR                        | CUSIP: 3140X4NY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3867 | PA      | $3831.82        | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                                             | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A M2 144A       | CUSIP: 07325QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1748892 | PA      | $1772076.63     | 0.00%             | 2037-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC4                                          | STRUCTURED ASSET SECURITIES CO SASC 2007 BC4 A2            | CUSIP: 86365DAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5750000 | PA      | $5328857.35     | 0.00%             | 2037-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2006-B                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2006 B M3              | CUSIP: 63860FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1338000 | PA      | $1291627.46     | 0.00%             | 2036-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MTGE 20                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 5 4A             | CUSIP: 07384MS94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16385 | PA      | $16224.20       | 0.00%             | 2034-07-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| TIB DIVERSIFIED PAYMENT RIGHTS FINANCE CO                                        | CORPTB9D9                                                  | CUSIP: 954VMHII9<br>LEI: 549300L0OOCR1ME5E729 | Long             | DBT              | CORP              | US        |     60100000 | PA      | $60048675.80    | 0.03%             | 2034-11-15      | Floating      | 7.11%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA9393 FN 07/39 FIXED 4.5                        | CUSIP: 31416TNK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1480 | PA      | $1490.66        | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5385 FN 07/45 FIXED 4                          | CUSIP: 3138WE6X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14194 | PA      | $13705.66       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV8752 FN 02/44 FIXED 4.5                        | CUSIP: 3138XLWN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       504850 | PA      | $502188.74      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4744 FR 11/47 FIXED 4                  | CUSIP: 3132A5HV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18349 | PA      | $17694.49       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-13R                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 13R 1A2 144A        | CUSIP: 12646AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4521649 | PA      | $3685360.92     | 0.00%             | 2036-08-27      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80000 08/22/23-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $856525.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS10                                             | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS10 M2           | CUSIP: 76110WG42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        89294 | PA      | $89273.06       | 0.00%             | 2034-11-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXV LTD                                              | BENEFIT STREET PARTNERS CLO LT BSP 2021 25A A1R 144A       | CUSIP: 08186YAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7000000 | PA      | $7024195.08     | 0.00%             | 2035-01-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-8                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 8 1A2A           | CUSIP: 41161PQU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       849726 | PA      | $505608.93      | 0.00%             | 2035-09-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7060 FN 03/47 FIXED 4                          | CUSIP: 3140FEZ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95151 | PA      | $91562.14       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-112135.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7698 FN 10/47 FIXED 3.5                        | CUSIP: 3140FTRU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        92683 | PA      | $85850.03       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A C 144A         | CUSIP: 210928AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35858221 | PA      | $37286393.18    | 0.02%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3698 FN 07/39 FIXED 3.5                        | CUSIP: 31418DDC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1021115 | PA      | $981588.68      | 0.00%             | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF231 RR                               | CUSIP: ACI2QBKR7<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     22875915 | PA      | $28034781.20    | 0.01%             | 2028-10-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-6                                            | DEUTSCHE ALT A SECURITIES INC DBALT 2005 6 2A2             | CUSIP: 251510KG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1170739 | PA      | $993069.20      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251117                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $906617.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA9                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA9 A1            | CUSIP: 75115VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1739129 | PA      | $907390.17      | 0.00%             | 2036-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB1             | CUSIP: 05950BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13972 | PA      | $12229.78       | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1510646.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 10A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 10A A2A 144A            | CUSIP: 01449WAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12000000 | PA      | $10320000.00    | 0.01%             | 2036-09-23      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2023-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2023 RP2 PT 144A       | CUSIP: 17331PAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378451664 | PA      | $340724006.53   | 0.17%             | 2062-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52319 FG 11/47 FIXED 3.5                | CUSIP: 3132XUSH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41196626 | PA      | $38405142.49    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0347 FN 06/47 FIXED 4.5                        | CUSIP: 3140Q7L54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       131823 | PA      | $129117.93      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY39 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $3463141.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-11                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 11 2A1 144A       | CUSIP: 17313RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1601402 | PA      | $1219682.39     | 0.00%             | 2037-03-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-29CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 29CB A5          | CUSIP: 12667FZK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4884878 | PA      | $4887881.98     | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE2                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE2 A4            | CUSIP: 46602WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29438793 | PA      | $8046870.44     | 0.00%             | 2036-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-4                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 4 5A1            | CUSIP: 9393366R9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       908334 | PA      | $791096.68      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR1323 FN 02/51 FIXED 2.5                        | CUSIP: 3140KYPH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7011950 | PA      | $5957767.12     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2005-AR2                                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR2 2A1A          | CUSIP: 45660LCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       792720 | PA      | $739008.08      | 0.00%             | 2035-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| PRET 2024-NPL9 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL9 A1 144A      | CUSIP: 74143TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39593694 | PA      | $39686406.32    | 0.02%             | 2054-12-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-6                                                         | FANNIE MAE FNR 2019 6 KS                                   | CUSIP: 3136B3P87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5073619 | PA      | $653819.55      | 0.00%             | 2049-03-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1072 FN 10/46 FIXED 3.5                        | CUSIP: 3140FLFN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       248805 | PA      | $231996.06      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                                  | AVON FINANCE AVON 4A C 144A                                | CUSIP: ACI2JTNL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     14835000 | PA      | $20125575.39    | 0.01%             | 2049-12-28      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6749 FR 05/53 FIXED 6.5                | CUSIP: 3133C7QA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2255863 | PA      | $2356067.67     | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 2A4              | CUSIP: 12669WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40366248 | PA      | $37951995.16    | 0.02%             | 2037-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A2            | CUSIP: 55275TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38996870 | PA      | $10984267.92    | 0.01%             | 2037-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-7069431.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-E                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 8A1             | CUSIP: 05946XXW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       329680 | PA      | $258712.70      | 0.00%             | 2035-06-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9314 FN 03/47 FIXED 4                          | CUSIP: 3140FVK47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       200714 | PA      | $193080.69      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9353 FN 01/27 FIXED 3                          | CUSIP: 3138E2MB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28323 | PA      | $28085.52       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 33A1                 | CUSIP: 07386HQ38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9770 | PA      | $6015.71        | 0.00%             | 2036-05-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4680                                                          | FREDDIE MAC FHR 4680 FP                                    | CUSIP: 3137BY6F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14254165 | PA      | $13919435.67    | 0.01%             | 2046-12-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC COMPANY GUAR 144A 02/31 2.45                  | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     86400000 | PA      | $78608301.12    | 0.04%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET 2003-FF5                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2003 FF5 M3             | CUSIP: 32027NFF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1397947 | PA      | $1333934.14     | 0.00%             | 2034-03-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FINASTRA USA INC                                                                 | FINASTRA USA INC 2023 TERM LOAN                            | CUSIP: 953PAVII5<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |     15250000 | PA      | $15351641.22    | 0.01%             | 2029-09-13      | Floating      | 11.29%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q40718 FG 05/46 FIXED 3.5                | CUSIP: 3132WDYQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5837 | PA      | $5470.56        | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A     | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73634631 | PA      | $66825415.89    | 0.03%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7717 FN 12/26 FIXED 3                          | CUSIP: 3138E0SF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7233 | PA      | $7172.32        | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 3 A3 144A          | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14600000 | PA      | $14830263.90    | 0.01%             | 2028-08-21      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 D R 144A           | CUSIP: 78454XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        22750 | PA      | $6448036.20     | 0.00%             | 2058-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $31328.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 03/20/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $22167937.78    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2022-4                                                   | CARMAX AUTO OWNER TRUST CARMX 2022 4 A3                    | CUSIP: 14318UAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1165988 | PA      | $1170407.39     | 0.00%             | 2027-08-16      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R3                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R3 M6             | CUSIP: 03072SA47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4588000 | PA      | $4268525.17     | 0.00%             | 2035-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                                    | GSAA HOME EQUITY TRUST GSAA 2006 5 2A3                     | CUSIP: 362334GT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21476488 | PA      | $9713304.22     | 0.00%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3665 FN 12/52 FIXED 5.5                        | CUSIP: 3140N8CB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       749141 | PA      | $757934.11      | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-7C                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 7CB 2A1          | CUSIP: 12667F4L6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4046919 | PA      | $2960892.14     | 0.00%             | 2038-03-01      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-9                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 9 A 144A          | CUSIP: 69546QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9369828 | PA      | $9398556.17     | 0.00%             | 2032-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3828 FN 11/34 FIXED 3                          | CUSIP: 31418DHE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       328339 | PA      | $318773.36      | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0062 FN 07/47 FIXED 4                          | CUSIP: 3140Q7B89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       437006 | PA      | $420384.94      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A E 144A                                | CUSIP: ACI2J97X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11976000 | PA      | $16183392.44    | 0.01%             | 2050-11-28      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY9733 FN 07/45 FIXED 4                          | CUSIP: 3138YPY71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       182987 | PA      | $176104.43      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY3                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY3 4A1                   | CUSIP: 12544WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2157138 | PA      | $2121656.90     | 0.00%             | 2047-06-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7206 FN 08/45 FIXED VAR                        | CUSIP: 3138EQAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72076 | PA      | $69432.48       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG9760 G2 05/48 FIXED 4                       | CUSIP: 3617GUZZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       582835 | PA      | $552333.81      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8810 FN 02/47 FIXED 3.5                        | CUSIP: 3138WJYG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16901 | PA      | $15805.27       | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9664 G2 05/54 FIXED 3.5                     | CUSIP: 36179YWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       959738 | PA      | $877141.59      | 0.00%             | 2054-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 24 A8                     | CUSIP: 126694JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       214979 | PA      | $109480.28      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BD4083 G2 05/48 FIXED 4                       | CUSIP: 3617BKRC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       467415 | PA      | $442822.44      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY40 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1947192.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-HYB1 2006-HYB1                              | COUNTRYWIDE HOME LOANS CWHL 2006 HYB1 1A1                  | CUSIP: 126694WE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2953661 | PA      | $2755011.70     | 0.00%             | 2036-03-20      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2B           | CUSIP: 81377GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32787639 | PA      | $10716853.00    | 0.01%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q63638 FG 05/49 FIXED 3.5                | CUSIP: 3132VQBG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       681514 | PA      | $630598.89      | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q48720 FG 06/47 FIXED 3                  | CUSIP: 3132WNVN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13887 | PA      | $12573.58       | 0.00%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JUPITER HIGH-GRADE CDO III LTD 3A                                                | JUPITER HIGH GRADE CDO LTD JPTR 2005 3A A2B 144A           | CUSIP: 48206AAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     34500000 | PA      | $0.35           | 0.00%             | 2042-06-08      | Floating      | 4.73%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.50800 07/25/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-15947102.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.3* 01/04/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-15716812.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                              | ELEVATION CLO LTD AWPT 2018 3A A2R2 144A                   | CUSIP: 28623VAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8500000 | PA      | $8553414.51     | 0.00%             | 2035-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-CP1                                          | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 CP1 2A2          | CUSIP: 68402YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       748709 | PA      | $736894.00      | 0.00%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1687 FN 12/47 FIXED 4                          | CUSIP: 3140H22V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22532 | PA      | $21666.52       | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 1A1          | CUSIP: 02150QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        72318 | PA      | $58540.85       | 0.00%             | 2037-06-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A C 144A         | CUSIP: 210927AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35989854 | PA      | $37423027.35    | 0.02%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AIRBUS FINANCE BV SNR SE ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |            1 | NC      | $670280.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SEA1                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SEA1 2A1 144A      | CUSIP: 23248AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       944324 | PA      | $911789.15      | 0.00%             | 2047-05-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER RE LTD                                                             | CHARLES RIVER RE LTD SR UNSECURED 144A 05/31 VAR           | CUSIP: 159873AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      2700000 | PA      | $2865105.00     | 0.00%             | 2031-05-10      | Floating      | 11.60%                | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-WL3                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL3 1A           | CUSIP: 542514SS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11524648 | PA      | $11126643.30    | 0.01%             | 2036-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9598 FN 03/45 FIXED 4.5                        | CUSIP: 3138YBUY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       540104 | PA      | $536366.28      | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-2F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 2F 2A2                    | CUSIP: 362334CN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       234279 | PA      | $205502.61      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-RIVR                                      | GS MORTGAGE SECURITIES TRUST GSMS 2018 RIVR A 144A         | CUSIP: 36255WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6688480 | PA      | $4548166.10     | 0.00%             | 2035-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-4                                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 4 1A1             | CUSIP: 863579MP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7641523 | PA      | $6362883.16     | 0.00%             | 2035-03-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3B            | CUSIP: 59024FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4356921 | PA      | $1023088.24     | 0.00%             | 2037-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-9F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 9F 3A1                    | CUSIP: 3622X7AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9171909 | PA      | $8496540.71     | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 9.99764 08/04/23-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-13879927.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1            | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2117306 | PA      | $1474299.64     | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO DAC 11A                                                               | ARBOUR CLO ARBR 11A AR                                     | CUSIP: ACI2P5HV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     20750000 | PA      | $24487780.63    | 0.01%             | 2038-05-15      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL9 A1 144A        | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       662846 | PA      | $660117.20      | 0.00%             | 2061-02-25      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDL 2006-BC4                                         | SPECIALTY UNDERWRITING + RESID SURF 2006 BC4 A2D           | CUSIP: 84751YAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14583252 | PA      | $5062583.23     | 0.00%             | 2037-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $33954.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST 2024-A                                          | HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2024 A A2             | CUSIP: 412922AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       956980 | PA      | $957534.61      | 0.00%             | 2027-02-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9131 FN 10/46 FIXED 3.5                        | CUSIP: 3140FHED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67190 | PA      | $62695.28       | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 4A1           | CUSIP: 12668AHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3065108 | PA      | $2919002.23     | 0.00%             | 2035-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CP 2002-14A                                          | STRUCTURED ASSET SECURITIES CO SASC 2002 14A 1A1           | CUSIP: 86358RR41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          882 | PA      | $878.19         | 0.00%             | 2032-07-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX4866 FR 02/55 FIXED 7                  | CUSIP: 31426AMQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11084481 | PA      | $11606056.26    | 0.01%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MORTGAGE SEC INC. 2004-4                                                | DEUTSCHE MORTGAGE SECURITIES, DMSI 2004 4 4AR1             | CUSIP: 251563FA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3730 | PA      | $3488.69        | 0.00%             | 2034-06-25      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-6502426.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-45047.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 4A1                 | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        93744 | PA      | $88546.23       | 0.00%             | 2035-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX1734 FN 10/44 FIXED 4                          | CUSIP: 3138Y24U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       378441 | PA      | $366395.34      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6967 FN 07/53 FIXED 5                          | CUSIP: 3140NPW55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       225251 | PA      | $224371.85      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2005-RS7                                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS7 M3            | CUSIP: 76112BWY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6500000 | PA      | $6408743.25     | 0.00%             | 2035-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC-2005-WCW1                                              | PARK PLACE SECURITIES INC PPSI 2005 WCW1 M4                | CUSIP: 70069FKH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $3582171.20     | 0.00%             | 2035-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-6 LLC                                                                  | PRP ADVISORS, LLC PRPM 2024 6 A1 144A                      | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7746627 | PA      | $7756670.03     | 0.00%             | 2029-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0200 FN 10/29 FIXED 4.5                        | CUSIP: 31417YGJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11117 | PA      | $11147.39       | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 7CB 1A10         | CUSIP: 12668BYB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2987414 | PA      | $1518685.25     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3880 FN 11/39 FIXED 4                          | CUSIP: 31418DJ29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       111651 | PA      | $109710.47      | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A3             | CUSIP: 93935HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22033049 | PA      | $5812701.59     | 0.00%             | 2036-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY36 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $19334237.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 WF1 M2            | CUSIP: 86359BV81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       780614 | PA      | $780511.02      | 0.00%             | 2035-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2021-RPL5                                                            | CSMCM TRUST CERTIFICATES CSMCM 2021 RPL5 CERT 144A         | CUSIP: 12658JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11072652 | PA      | $8851224.57     | 0.00%             | 2061-02-25      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6844 FR 07/53 FIXED 5                  | CUSIP: 3133C7S99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       485185 | PA      | $482556.20      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $453460.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-OPT1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 OPT1 A1           | CUSIP: 59022VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6523737 | PA      | $5998897.94     | 0.00%             | 2037-08-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A         | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18600000 | PA      | $18753799.68    | 0.01%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-NC8                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 NC8 M1                | CUSIP: 61744CHP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6530205 | PA      | $6600915.08     | 0.00%             | 2034-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903252 FN 10/36 FIXED 6.5                        | CUSIP: 31411BQD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          599 | PA      | $631.79         | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-8T1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 8T1 1A3          | CUSIP: 12668BMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9969200 | PA      | $4669871.34     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A2B         | CUSIP: 073888BE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1903078 | PA      | $1913042.30     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO7974 FN 06/27 FIXED 3                          | CUSIP: 3138LY2G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6156 | PA      | $6096.30        | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8383 FN 03/47 FIXED 4                          | CUSIP: 3140FUJ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12419 | PA      | $11829.57       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.89000 03/03/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1093133.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-2004211.62    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-360490.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC11                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC11 1A          | CUSIP: 23244JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16517156 | PA      | $14722124.61    | 0.01%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2017-1AA                                      | SPIRIT AIR 2017 1 PTT AA PASS THRU CE 08/31 3.375          | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       120061 | PA      | $112010.24      | 0.00%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AGLN                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AGLN A 144A       | CUSIP: 94990HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48500000 | PA      | $48687859.90    | 0.02%             | 2037-07-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P1 A2 144A       | CUSIP: 14688NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       153946 | PA      | $153988.93      | 0.00%             | 2027-08-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4776 FN 11/31 FIXED VAR                        | CUSIP: 3140J9JW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       154569 | PA      | $149833.94      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA21                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA21 A1          | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13803019 | PA      | $11987656.62    | 0.01%             | 2047-03-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    388000000 | PA      | $396072894.84   | 0.20%             | 2054-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/28 4.65             | CUSIP: 694308JC2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     19885000 | PA      | $19945770.75    | 0.01%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-34                                                               | FANNIE MAE FNR 2007 34 S                                   | CUSIP: 31396P6G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       668403 | PA      | $56083.49       | 0.00%             | 2037-04-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A2            | CUSIP: 43710BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1139825 | PA      | $775170.08      | 0.00%             | 2037-04-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8583 FN 01/47 FIXED 3.5                        | CUSIP: 3138WJRD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        63598 | PA      | $59381.26       | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2963 FN 11/27 FIXED VAR                        | CUSIP: 3138EKJH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48129 | PA      | $47714.04       | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 11/25 0.00000                                | CUSIP: 912797RP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      9900000 | PA      | $9847398.03     | 0.00%             | 2025-11-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/27 5.45             | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     23667000 | PA      | $24074698.87    | 0.01%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 2CB A7           | CUSIP: 12668BLG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1792335 | PA      | $802139.00      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-NC4                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 NC4 M1                | CUSIP: 61744CCH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1864777 | PA      | $1893387.69     | 0.00%             | 2034-04-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2005-1                                                 | AEGIS ASSET BACKED SECURITIES AABST 2005 1 M6              | CUSIP: 00764MEQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2346649 | PA      | $1118042.61     | 0.00%             | 2035-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7617 FR 07/52 FIXED 5                  | CUSIP: 3133KPPA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       982570 | PA      | $981602.98      | 0.00%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6489 FN 01/46 FIXED 4                          | CUSIP: 3138WGF74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2329897 | PA      | $2242268.79     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20270610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-4716.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ1                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ1 M6                | CUSIP: 70069FGF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17052000 | PA      | $15836905.17    | 0.01%             | 2035-03-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH2 AF2          | CUSIP: 46630MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10846 | PA      | $5399.01        | 0.00%             | 2037-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 1 M5                     | CUSIP: 43739EAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60943 | PA      | $44705.87       | 0.00%             | 2035-03-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 1A             | CUSIP: 542514UG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5405344 | PA      | $5183640.75     | 0.00%             | 2046-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $131.71         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-D                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 D 1A2             | CUSIP: 058933AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64113733 | PA      | $15146273.23    | 0.01%             | 2036-05-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6009 FN 05/46 FIXED 3.5                        | CUSIP: 3140F1VB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103727 | PA      | $97357.40       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-NQM1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 NQM1 PT 144A      | CUSIP: 36272FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326400101 | PA      | $335284352.54   | 0.17%             | 2064-03-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2168 FR 05/53 FIXED 5                  | CUSIP: 3133C2MR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9297355 | PA      | $9277903.42     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0942 FN 12/40 FIXED 4                          | CUSIP: 3138A2BL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84536 | PA      | $82473.24       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                               | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A2 144A           | CUSIP: 30336CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7723519 | PA      | $7742696.55     | 0.00%             | 2027-11-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1011 FN 01/43 FIXED 4                          | CUSIP: 3140Q8DR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4547 | PA      | $4408.07        | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60958 FG 09/46 FIXED 3                  | CUSIP: 31335BB39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       851761 | PA      | $772802.62      | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 4 B              | CUSIP: 802919AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37500000 | PA      | $37820733.75    | 0.02%             | 2029-09-17      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 11 2A1                    | CUSIP: 12669FA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        47026 | PA      | $44929.74       | 0.00%             | 2034-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3524 FN 11/47 FIXED 4                          | CUSIP: 3140H44J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       104425 | PA      | $100421.05      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH1                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A        | CUSIP: 12669HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1428227 | PA      | $1358942.96     | 0.00%             | 2037-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-I2                                                                | CIM TRUST CIM 2023 I2 A1 144A                              | CUSIP: 12570HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20348374 | PA      | $20503314.85    | 0.01%             | 2067-12-25      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 5A1             | CUSIP: 05954DAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       974395 | PA      | $858905.37      | 0.00%             | 2047-06-20      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-2                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 2 2A1            | CUSIP: 78473TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       906522 | PA      | $491387.88      | 0.00%             | 2037-04-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1            | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       193715 | PA      | $174438.28      | 0.00%             | 2035-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-26A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 26A 3A5           | CUSIP: 86359AS95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43635 | PA      | $42392.10       | 0.00%             | 2033-09-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP1 SA 144A       | CUSIP: 17291JAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       111158 | PA      | $109936.99      | 0.00%             | 2068-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 1A              | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13301554 | PA      | $12557416.78    | 0.01%             | 2037-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2024-AA ASSET-BACKED NOTES              | FORD AUTO SECURITIZATION TRUST FASTR 2024 AA A2 144A       | CUSIP: 345214BJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     25998264 | PA      | $18945815.78    | 0.01%             | 2028-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A4          | CUSIP: 83612TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4588526 | PA      | $3063214.59     | 0.00%             | 2037-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL9 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL9 A1 144A      | CUSIP: 740937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51575159 | PA      | $51652847.14    | 0.03%             | 2055-08-25      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 11/25 0.00000                                | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     68054000 | PA      | $67616033.05    | 0.03%             | 2025-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-NC2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 NC2 M1           | CUSIP: 46629FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10578950 | PA      | $10487402.78    | 0.01%             | 2036-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC5                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC5 M4           | CUSIP: 76112BH78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11246000 | PA      | $10949618.42    | 0.01%             | 2035-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                                    | ARGENT SECURITIES INC. ARSI 2006 M2 A2B                    | CUSIP: 04013BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9110191 | PA      | $2939020.50     | 0.00%             | 2036-09-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO4144 FN 06/42 FIXED 4                          | CUSIP: 3138LUTA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2292 | PA      | $2230.25        | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2004-AC3                                            | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC3 A1           | CUSIP: 073879BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1219660 | PA      | $1190412.69     | 0.00%             | 2034-06-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 1A             | CUSIP: 863579B23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       189255 | PA      | $122330.89      | 0.00%             | 2035-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | NEW WINDSTREAM WARRANTS                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      1195360 | NC      | $6708600.59     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 1A           | CUSIP: 933638AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2521101 | PA      | $2324104.93     | 0.00%             | 2047-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.00000 12/21/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $132542215.98   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                     | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A          | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1814753 | PA      | $1793948.52     | 0.00%             | 2038-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                              | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M5                | CUSIP: 70069FBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3845848 | PA      | $3453249.32     | 0.00%             | 2034-10-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                      | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    142284620 | PA      | $68263066.89    | 0.03%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA1                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA1 1A1          | CUSIP: 32051GS48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1242440 | PA      | $390687.30      | 0.00%             | 2036-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5408 FR 01/53 FIXED 5.5                | CUSIP: 3133BTAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3181127 | PA      | $3229193.16     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 504777 FN 10/29 FIXED 6.5                        | CUSIP: 31383JXE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1088 | PA      | $1126.13        | 0.00%             | 2029-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIV LTD 2020-24A                                                   | SYMPHONY CLO LTD SYMP 2020 24A A1R 144A                    | CUSIP: 87167QAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     53600000 | PA      | $53599674.11    | 0.03%             | 2035-10-23      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF3 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RCF3 A1 144A                   | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       704889 | PA      | $696633.21      | 0.00%             | 2054-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4143 FN 09/49 FIXED 3                          | CUSIP: 3140QBS90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49125965 | PA      | $43938856.13    | 0.02%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4406 FN 06/53 FIXED 5.5                        | CUSIP: 3140NL3Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       701059 | PA      | $710261.37      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2501 FN 10/44 FIXED 4                          | CUSIP: 3138Y3X71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4026 | PA      | $3882.48        | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-7AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 7AR 1A             | CUSIP: 61748HCD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       389233 | PA      | $381040.73      | 0.00%             | 2034-09-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP CBK                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $66.17          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A4          | CUSIP: 92922F3J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1347388 | PA      | $1237683.61     | 0.00%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54727 FG 03/48 FIXED 3.5                | CUSIP: 3132XXHD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1265845 | PA      | $1178376.87     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0293 FN 01/30 FIXED 4.5                        | CUSIP: 31417YKF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7891 | PA      | $7939.21        | 0.00%             | 2030-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-AMN1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 AMN1 A2            | CUSIP: 92978EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18631606 | PA      | $6135594.72     | 0.00%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2012-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2012 3 4A2 144A        | CUSIP: 17319EAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1199454 | PA      | $778877.28      | 0.00%             | 2036-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 5A1            | CUSIP: 007036TM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2146030 | PA      | $2050156.49     | 0.00%             | 2036-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO2985 FN 05/42 FIXED 4                          | CUSIP: 3138LTJ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85292 | PA      | $83025.98       | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 A3A 144A     | CUSIP: 36263MAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216718293 | PA      | $180180932.59   | 0.09%             | 2052-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS7 1A1           | CUSIP: 74923WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5230237 | PA      | $4382482.94     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS3                                              | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS3 AII           | CUSIP: 74924YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4735047 | PA      | $4638562.47     | 0.00%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/47 0.875                                | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    215985480 | PA      | $159661624.55   | 0.08%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 3A1                  | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91234 | PA      | $78290.64       | 0.00%             | 2037-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-10                                                          | LEHMAN XS TRUST LXS 2005 10 2A4A                           | CUSIP: 525221GC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4266335 | PA      | $3824003.70     | 0.00%             | 2036-01-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2019 1 AA PTT PASS THRU CE 02/33 4.15           | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3123442 | PA      | $3054730.51     | 0.00%             | 2033-02-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1B 144A         | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112483246 | PA      | $112282553.77   | 0.06%             | 2053-07-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-20                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 20 2A1                    | CUSIP: 12669F2H5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13246 | PA      | $12310.03       | 0.00%             | 2034-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.70000 04/11/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-7653128.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $377166.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $232205.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6020 FN 10/45 FIXED 4                          | CUSIP: 3138WFVN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       829539 | PA      | $798683.72      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.30000 10/03/23-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $17144106.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT 03/60 5.39                       | CUSIP: 39571NAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13900000 | PA      | $14104799.82    | 0.01%             | 2060-03-25      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2003 FN 10/47 FIXED VAR                        | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24713927 | PA      | $23774030.57    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                               | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A    | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     89700000 | PA      | $90006982.10    | 0.04%             | 2035-04-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847212 FH 12/33 FLOATING VAR             | CUSIP: 3128JRAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12791 | PA      | $13071.57       | 0.00%             | 2033-12-01      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3142 FN 10/48 FIXED VAR                        | CUSIP: 3140X6P47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2806587 | PA      | $2688483.89     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A D 144A                          | CUSIP: ACI2M1B02<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     86490000 | PA      | $118268953.64   | 0.06%             | 2035-06-21      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST SERIES 2012-5                                           | KGS ALPHA SBA COOF TRUST KSBA 2012 5 A 144A                | CUSIP: 48248JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5233684 | PA      | $104673.67      | 0.00%             | 2038-04-25      | Variable      | 1.06%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2620 FN 08/47 FIXED 3.5                        | CUSIP: 3140GQ4E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2105478 | PA      | $1967693.95     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                          | BCAP LLC TRUST BCAP 2011 R11 8A7 144A                      | CUSIP: 05533FCN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       151299 | PA      | $126914.66      | 0.00%             | 2036-07-26      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE5                                                             | GSAMP TRUST GSAMP 2005 HE5 M5                              | CUSIP: 362341ZF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4016000 | PA      | $3679565.62     | 0.00%             | 2035-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9884 FN 07/47 FIXED 4                          | CUSIP: 3138WK6W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7778 | PA      | $7479.84        | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WMC1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WMC1 M1           | CUSIP: 17307GZ68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11396723 | PA      | $11062668.71    | 0.01%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7               | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13265745 | PA      | $13190201.64    | 0.01%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5879 FN 12/45 FIXED VAR                        | CUSIP: 3140JAQ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4591960 | PA      | $4437365.69     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1            | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3356101 | PA      | $2499090.85     | 0.00%             | 2035-07-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H4 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H4 A1 144A                 | CUSIP: 22758HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21607120 | PA      | $21900843.12    | 0.01%             | 2069-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1381 FR 04/48 FIXED 4                  | CUSIP: 3132ADRA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       117718 | PA      | $113204.05      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP CBK                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $48533.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 25-3A                                          | GLS AUTO SELECT RECEIVABLES TR GSAR 2025 3A A2 144A        | CUSIP: 36272GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13800000 | PA      | $13897764.72    | 0.01%             | 2030-10-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 2 2A12            | CUSIP: 17307GRN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1325316 | PA      | $1353006.40     | 0.00%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL1 PT 144A      | CUSIP: 36268LAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385634432 | PA      | $358085826.42   | 0.18%             | 2063-07-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                 | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B A2 144A        | CUSIP: 02007G4B6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9608016 | PA      | $9700097.79     | 0.00%             | 2032-09-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW5109 FN 08/44 FIXED 4                          | CUSIP: 3138XUVB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36053 | PA      | $34816.51       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS7                                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS7 M7            | CUSIP: 76110W3D6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4551000 | PA      | $4417646.14     | 0.00%             | 2035-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL12                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP12 B2 144A        | CUSIP: 12655FAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237521850 | PA      | $184192137.87   | 0.09%             | 2060-10-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $401872.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KINBANE 2025-RPL 2 DAC  25-RPL2A                                                 | KINBANE DAC KINBN 2025 RPL2A A 144A                        | CUSIP: ACI30K8H9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     40300000 | PA      | $47321338.84    | 0.02%             | 2075-08-24      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $85145.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA7                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA7 2A1          | CUSIP: 02146BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1750949 | PA      | $1620732.76     | 0.00%             | 2046-06-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8963 FN 07/44 FIXED 4                          | CUSIP: 3138XY5Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67696 | PA      | $65332.09       | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A                  | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84557730 | PA      | $55216823.72    | 0.03%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43746 FG 10/46 FIXED 3                  | CUSIP: 3132WHEU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       343210 | PA      | $310110.97      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2018-12A                                              | ATLAS SENIOR LOAN FUND LTD ATCLO 2018 12A A1 144A          | CUSIP: 04942UAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7084602 | PA      | $7090862.98     | 0.00%             | 2031-10-24      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1027 FN 03/48 FIXED 3.5                        | CUSIP: 3140HED90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       422387 | PA      | $393140.49      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COMMERCIAL ASSET TRUST 2006-SP2                                          | BAYVIEW COMMERCIAL ASSET TRUST BAYC 2006 SP2 A 144A        | CUSIP: 07325KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24574 | PA      | $23369.55       | 0.00%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                                 | FREDDIE MAC FHR 4839 QO                                    | CUSIP: 3137FJJS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10029908 | PA      | $8381920.98     | 0.00%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VISIO TRUST 2023-2                                                               | VISIO TRUST VISIO 2023 2 A1 144A                           | CUSIP: 92839CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15054557 | PA      | $15191866.95    | 0.01%             | 2058-10-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX4399 FN 11/52 FIXED 6                          | CUSIP: 3140N83H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       453558 | PA      | $466584.03      | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 2A1                  | CUSIP: 170256AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       547343 | PA      | $485437.61      | 0.00%             | 2036-09-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS C 144A                   | CUSIP: 90137LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10007000 | PA      | $9349039.75     | 0.00%             | 2035-05-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-5                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 5 2A3            | CUSIP: 54251PAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52423172 | PA      | $24770640.79    | 0.01%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.0* 9/22/23-29Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $39769886.42    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $8914462.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7231 FN 08/45 FIXED VAR                        | CUSIP: 3138EQA93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10100 | PA      | $9500.52        | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 2 A2               | CUSIP: 262103AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125300000 | PA      | $125338128.79   | 0.06%             | 2028-10-16      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-124                                                       | FANNIE MAE FNR 2012 124 SJ                                 | CUSIP: 3136A9W46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18999 | PA      | $14733.41       | 0.00%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 252162 FN 12/28 FIXED 6.5                        | CUSIP: 31371HB72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          360 | PA      | $371.84         | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.78750 05/03/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-8406099.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS0503 FR 06/30 FIXED 6.5                | CUSIP: 3132A0RY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          347 | PA      | $358.01         | 0.00%             | 2030-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INVSC-5A                                                                         | INVESCO EURO CLO INVSC 5A AR 144A                          | CUSIP: ACI2VXQH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     80900000 | PA      | $94978789.50    | 0.05%             | 2034-01-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-WF1                                              | HSI ASSET SECURITIZATION CORPO HASC 2007 WF1 M1            | CUSIP: 40431RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1594195 | PA      | $1586346.66     | 0.00%             | 2037-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY0045 FN 12/44 FIXED 4                          | CUSIP: 3138YDBP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       152928 | PA      | $148643.92      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4317 FN 01/49 FIXED 4                          | CUSIP: 3140JLYP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       178052 | PA      | $171908.94      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021-1 TRUST                                            | HOME PARTNERS OF AMERICA TRUST HPA 2021 1 A 144A           | CUSIP: 437300AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6889349 | PA      | $6235230.08     | 0.00%             | 2041-09-17      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-5                                                | VERUS SECURITIZATION TRUST VERUS 2024 5 A1 144A            | CUSIP: 92540HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29322283 | PA      | $29750681.80    | 0.01%             | 2069-06-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5007 FR 09/39 FIXED 3.5                | CUSIP: 3133KYR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       297785 | PA      | $286112.86      | 0.00%             | 2039-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3388 FN 09/44 FIXED 4                          | CUSIP: 3138WCXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       157437 | PA      | $152036.78      | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                                      | WATR ISSUER TRUST WATR 2025 1 C 144A                       | CUSIP: 942611AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10020000 | PA      | $10050542.46    | 0.00%             | 2050-06-17      | Fixed         | 5.81%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS8                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS8 A4            | CUSIP: 74924RAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16744002 | PA      | $16574194.10    | 0.01%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR27                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR27 2A2          | CUSIP: 45661LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1832049 | PA      | $1666138.79     | 0.00%             | 2036-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR               | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    449770711 | PA      | $237085386.04   | 0.12%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-1                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 1A1             | CUSIP: 007036AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       172146 | PA      | $165568.03      | 0.00%             | 2035-01-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  SEP25 XCME 20251216                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2038 | NC      | $9579212.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 2A1           | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        83248 | PA      | $59133.25       | 0.00%             | 2046-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-5                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 5 2A3              | CUSIP: 12668KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4714267 | PA      | $4776465.88     | 0.00%             | 2047-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-11781.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                                | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A1F 144A        | CUSIP: 57643QBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14883037 | PA      | $7054276.63     | 0.00%             | 2035-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-13R                                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 13R 4A2 144A        | CUSIP: 12642LCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       370571 | PA      | $352356.82      | 0.00%             | 2036-09-26      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3865 FN 12/34 FIXED 3                          | CUSIP: 31418DJK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2820016 | PA      | $2730222.89     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-3                                                    | GSAA HOME EQUITY TRUST GSAA 2006 3 A2                      | CUSIP: 362334BR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12202754 | PA      | $4056236.90     | 0.00%             | 2036-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-MLN1                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 MLN1 A1           | CUSIP: 59024UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24320282 | PA      | $18952919.44    | 0.01%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4485 FN 02/27 FIXED 3                          | CUSIP: 31417A6X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12422 | PA      | $12303.52       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-22                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 22 5A1            | CUSIP: 863579G77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       126765 | PA      | $72535.12       | 0.00%             | 2035-12-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 1A1             | CUSIP: 17307GTA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9812 | PA      | $9929.76        | 0.00%             | 2035-08-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A1            | CUSIP: 59022QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1453057 | PA      | $1453629.59     | 0.00%             | 2037-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR3                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR3 1A2A          | CUSIP: 17306SAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       383491 | PA      | $370418.93      | 0.00%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4718 FR 05/47 FIXED 4                  | CUSIP: 3132A5G33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       320295 | PA      | $308113.38      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1            | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1746893 | PA      | $1573361.21     | 0.00%             | 2047-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MANSARD MORTGAGES PLC 2007-2X                                                    | MANSARD MORTGAGES PLC MANSD 2007 2X A1 REGS                | CUSIP: B29VVWII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3097266 | PA      | $4162287.80     | 0.00%             | 2049-12-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                                        | INDYMAC ARM TRUST INARM 2001 H2 A2                         | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3243 | PA      | $3141.97        | 0.00%             | 2032-01-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2522 FN 02/46 FIXED 3.5                        | CUSIP: 31418BYU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15612 | PA      | $14653.55       | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2368 FN 03/47 FIXED 4.5                        | CUSIP: 3140FMT22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       160917 | PA      | $157645.35      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2005-1                                                           | FIRST NLC TRUST FNLC 2005 1 M8                             | CUSIP: 32113JAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91474 | PA      | $0.91           | 0.00%             | 2035-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| VCAT LLC 2025-NPL2                                                               | VCAT ASSET SECURITIZATION, LLC VCAT 2025 NPL2 A1 144A      | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40280469 | PA      | $40378822.26    | 0.02%             | 2055-01-25      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| BCAP LLC 2010-RR13 TRUST                                                         | BCAP LLC TRUST BCAP 2010 RR13 1A2 144A                     | CUSIP: 05533MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4056442 | PA      | $3608352.66     | 0.00%             | 2037-06-27      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XVI LTD 2022-1A                                                | MOUNTAIN VIEW CLO MVEW 2022 1A A1R 144A                    | CUSIP: 62432UAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     45900000 | PA      | $45977167.54    | 0.02%             | 2034-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.35000 04/29/25-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-40981.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GRACECHURCH MORTGAGE FINANCE PLC 2020-GRCE                                       | GRACECHURCH MORTGAGE FINANCE P GRACE 2020 GRCE X 144A      | CUSIP: 38406JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174400000 | PA      | $2357347.36     | 0.00%             | 2040-12-10      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7649 FN 03/47 FIXED 4.5                        | CUSIP: 3140FTQB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       650475 | PA      | $640504.07      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2902 FR 05/53 FIXED 5.5                | CUSIP: 3132DQGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1481837 | PA      | $1501516.53     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                                 | CUSIP: 21H0406A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    450476000 | PA      | $423632774.84   | 0.21%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AS.6 SP BOA                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $53.33          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR11                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR11 A1          | CUSIP: 94984CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       202191 | PA      | $186922.76      | 0.00%             | 2036-08-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2007-2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 2 1A2             | CUSIP: 17310SAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2371301 | PA      | $1882628.55     | 0.00%             | 2036-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q62130 FG 03/49 FIXED 3.5                | CUSIP: 3132VNLL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2088969 | PA      | $1943284.17     | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 849058 FN 01/36 FIXED 6                          | CUSIP: 31408EJB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2576 | PA      | $2716.21        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2003-S4                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 S4 2A9            | CUSIP: 9292275B8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       217622 | PA      | $214964.42      | 0.00%             | 2033-06-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU4293 FN 09/43 FIXED 4                          | CUSIP: 3138X3XX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14311 | PA      | $13911.53       | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW7744 FN 09/52 FIXED 6                          | CUSIP: 3140N0TA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31472 | PA      | $32240.10       | 0.00%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC6                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC6 M4           | CUSIP: 76112BK58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7000000 | PA      | $6737968.30     | 0.00%             | 2035-11-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2002-C                                               | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M2              | CUSIP: 03072SDG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3277 | PA      | $2258.76        | 0.00%             | 2032-11-25      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 AIOS 144A      | CUSIP: 12662NAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392329227 | PA      | $6271363.07     | 0.00%             | 2061-05-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.70 9/18/23-7Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $45890174.23    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2007-AR1                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2007 AR1 2A1A          | CUSIP: 39539KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8208321 | PA      | $7697972.10     | 0.00%             | 2047-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-36                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 36 1A1           | CUSIP: 12667GWD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4560618 | PA      | $4424412.86     | 0.00%             | 2035-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY8724 FR 07/55 FIXED 7                  | CUSIP: 31426TVS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9101970 | PA      | $9558434.52     | 0.00%             | 2055-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 6A1            | CUSIP: 225470RY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2538716 | PA      | $1458632.49     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH6440 FR 12/53 FIXED 6.5                | CUSIP: 3133CKEM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2586480 | PA      | $2683308.72     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4623 FN 02/48 FIXED 4                          | CUSIP: 3140H6D55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6796861 | PA      | $6535543.48     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2006-HE6                                           | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE6 A1           | CUSIP: 04544NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5138352 | PA      | $5038530.74     | 0.00%             | 2036-11-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF8                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF8 IIA4           | CUSIP: 320278AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13892728 | PA      | $13720397.03    | 0.01%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.59000 08/19/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $196037.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R11                                                 | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R11 M4            | CUSIP: 03072SWT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3838141 | PA      | $3600390.70     | 0.00%             | 2034-11-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-18451.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                                       | HELLENIC REPUBLIC BONDS REGS 01/33 3.9                     | CUSIP: ACI0Z3H77<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     46724059 | PA      | $57719917.16    | 0.03%             | 2033-01-30      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-37111474.33   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6879 FN 03/46 FIXED 3.5                        | CUSIP: 3138WGUD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       132183 | PA      | $124067.21      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 11/25 0.00000                                | CUSIP: 912797RM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8425000 | PA      | $8393144.91     | 0.00%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM4 TRUST                                                             | PRP ADVISORS, LLC PRPM 2024 NQM4 A1 144A                   | CUSIP: 69381UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14301110 | PA      | $14424380.30    | 0.01%             | 2069-12-26      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-2 LTD                                                    | ROCKFORD TOWER CLO LTD ROCKT 2021 2A A1R 144A              | CUSIP: 77341LAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     33500000 | PA      | $33502203.30    | 0.02%             | 2034-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET BACKED CERTIFICATES 2007-FF2                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2007 FF2 A1             | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19340727 | PA      | $10117273.54    | 0.00%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2795 FN 09/30 FIXED 3                          | CUSIP: 3138YUC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84333 | PA      | $82447.70       | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q57384 FG 07/48 FIXED 3.5                | CUSIP: 3132Y1F29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       197446 | PA      | $183014.35      | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.51000 04/09/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1011790.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB3510 FR 08/50 FIXED 4                  | CUSIP: 3133A93T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       646934 | PA      | $640331.93      | 0.00%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD5585 FN 03/55 FIXED 7                          | CUSIP: 3140B6F34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3191834 | PA      | $3367411.33     | 0.00%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ5821 FN 07/45 FIXED 3.5                        | CUSIP: 3138YXPF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       413029 | PA      | $388345.87      | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2025-1                                         | JP MORGAN SEASONED MORTGAGE TR JPSMT 2025 1 A4 144A        | CUSIP: 46659PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44096134 | PA      | $41537433.84    | 0.02%             | 2063-01-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2003-A1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2003 A1 A1              | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          493 | PA      | $494.12         | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/46 2.5                                  | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4955000 | PA      | $3485726.35     | 0.00%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A3          | CUSIP: 46629KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1931658 | PA      | $1453082.73     | 0.00%             | 2036-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-15                                                        | FANNIE MAE FNR 2008 15 BS                                  | CUSIP: 31396YC83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       250891 | PA      | $269666.08      | 0.00%             | 2038-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0128 FN 11/34 FIXED VAR                        | CUSIP: 3140XFEA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20290315 | PA      | $20108748.08    | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR1297 FN 02/51 FIXED 2.5                        | CUSIP: 3140KYNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5434267 | PA      | $4615572.02     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2004-RS12                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS12 MI2          | CUSIP: 76112BFW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       215016 | PA      | $199348.87      | 0.00%             | 2034-12-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| PRIME PROPERTY FUND LLC                                                          | PRIME PROPERTY 7YR SR UNSEC                                | CUSIP: 954VLVII9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34500000 | PA      | $34727893.89    | 0.02%             | 2031-09-30      | Fixed         | 5.44%                 | Yes           |                  3 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A2            | CUSIP: 68403FAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17876027 | PA      | $10170513.66    | 0.01%             | 2037-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $59781.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB2                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB2 M1             | CUSIP: 126673S94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5936853 | PA      | $5844577.20     | 0.00%             | 2035-09-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS10                                             | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS10 M4           | CUSIP: 76110WG67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1947987 | PA      | $1934679.93     | 0.00%             | 2034-11-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB5                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB5 1A1                  | CUSIP: 12669GX97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5147845 | PA      | $4953202.68     | 0.00%             | 2035-09-20      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A       | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     21900000 | PA      | $21529112.55    | 0.01%             | 2038-04-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A                                       | SPACE COAST CREDIT UNION SCCU 2025 1A A2 144A              | CUSIP: 80620BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26700000 | PA      | $26798349.45    | 0.01%             | 2028-11-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR2                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR2 1A1B          | CUSIP: 45661EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5343290 | PA      | $4925079.78     | 0.00%             | 2046-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT3 1A1          | CUSIP: 83612KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7672663 | PA      | $6661701.23     | 0.00%             | 2037-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-E                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 3A1             | CUSIP: 05946XXP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1362748 | PA      | $1204745.35     | 0.00%             | 2035-05-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC7                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC7 1A2           | CUSIP: 86358ECT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       547493 | PA      | $536157.84      | 0.00%             | 2033-07-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J2                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J2 2A1           | CUSIP: 12667F6M2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       104154 | PA      | $12471.66       | 0.00%             | 2034-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-1                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2004 1 7A1             | CUSIP: 05946XGB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       324771 | PA      | $313348.87      | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ3447 FR 09/54 FIXED 7                  | CUSIP: 3142GTZM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       793712 | PA      | $831312.82      | 0.00%             | 2054-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22902.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 879702 G2 06/32 FLOATING VAR                  | CUSIP: 36208ANP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45949 | PA      | $46019.40       | 0.00%             | 2032-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB5                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB5 2A1                  | CUSIP: 12669GY47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2931546 | PA      | $2720841.58     | 0.00%             | 2035-09-20      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 337790 FN 02/26 FIXED 6.5                        | CUSIP: 31375LF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           42 | PA      | $43.27          | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C               | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13827145 | PA      | $7219233.77     | 0.00%             | 2036-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK5332 FN 07/48 FIXED 4                          | CUSIP: 3140HJ4S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       135089 | PA      | $128966.37      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A C 144A         | CUSIP: 21056EAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10543354 | PA      | $10967551.81    | 0.01%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    335581518 | PA      | $294826062.13   | 0.15%             | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-D                                                        | CENTEX HOME EQUITY CXHE 2005 D M7                          | CUSIP: 152314PT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12568353 | PA      | $12102655.52    | 0.01%             | 2035-10-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5825 FR 01/53 FIXED 6                  | CUSIP: 3133BTPJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       189711 | PA      | $194829.98      | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACRA TRUST 2024-NQM1                                                             | ACRA TRUST 2024 NQM1 ACRA 2024 NQM1 A1 144A                | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14730689 | PA      | $14826211.21    | 0.01%             | 2064-10-25      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q47180 FG 04/47 FIXED 3.5                | CUSIP: 3132WL6S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       163739 | PA      | $152205.11      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $6450.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN CREDIT CARD TRUST 2022-1A                                                 | GOLDEN CREDIT CARD TRUST GCCT 2022 1A A 144A               | CUSIP: 380881FE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |    220500000 | PA      | $214838221.50   | 0.11%             | 2029-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5209 FN 08/47 FIXED 4                          | CUSIP: 3140GTYF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4224 | PA      | $4057.92        | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.87000 10/17/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-584381.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4535 FN 06/46 FIXED 4                          | CUSIP: 3140F0BD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        86509 | PA      | $83219.25       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                    | RMAC SECURITIES PLC RMACS 2007 NS1X A2A REGS               | CUSIP: B1ZPGKII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3661252 | PA      | $4867670.57     | 0.00%             | 2044-06-12      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2087 FN 05/47 FIXED 4                          | CUSIP: 3140GQJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74154 | PA      | $70677.52       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q49490 FG 07/47 FIXED 3.5                | CUSIP: 3132WPRL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4437 | PA      | $4151.94        | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 2A1           | CUSIP: 933634AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11690414 | PA      | $10141902.18    | 0.01%             | 2037-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A                               | NEUBERGER BERMAN CLO LTD NEUB 2021 45A AR 144A             | CUSIP: 64134MAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     73800000 | PA      | $73886844.15    | 0.04%             | 2036-10-14      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET J                                      | CUSIP: ACI01UGU4<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2024-VIS1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2024 VIS1 A1 144A           | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13645290 | PA      | $13791722.80    | 0.01%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-D                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 D 2A7            | CUSIP: 05949A4R8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       968791 | PA      | $866420.47      | 0.00%             | 2035-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2006-RM2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM2 A2B           | CUSIP: 590216AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2786127 | PA      | $306029.32      | 0.00%             | 2037-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-585.43        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8341 FR 07/53 FIXED 5                  | CUSIP: 3132DWHS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       898747 | PA      | $895500.24      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY11 A1          | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6338843 | PA      | $5994563.42     | 0.00%             | 2036-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| VCAT 2025-NPL3 LLC                                                               | VCAT ASSET SECURITIZATION, LLC VCAT 2025 NPL3 A1 144A      | CUSIP: 92243QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49860092 | PA      | $49949865.46    | 0.02%             | 2055-02-25      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-2          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 2 1A10           | CUSIP: 93934FMA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       723263 | PA      | $663303.15      | 0.00%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-13                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 13 2A12          | CUSIP: 41161PWC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       450389 | PA      | $197791.96      | 0.00%             | 2036-02-19      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-D                                 | NAVIENT STUDENT LOAN TRUST NAVSL 2019 D A2B 144A           | CUSIP: 63941CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3642610 | PA      | $3632248.33     | 0.00%             | 2059-12-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-6                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 6 4A             | CUSIP: 41161PFU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       767999 | PA      | $755459.81      | 0.00%             | 2034-08-19      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                                   | ARGENT SECURITIES INC. ARSI 2004 W11 M5                    | CUSIP: 040104MK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3311304 | PA      | $3053518.16     | 0.00%             | 2034-11-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-44                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 44 1A1           | CUSIP: 12667G3L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1231501 | PA      | $817370.68      | 0.00%             | 2035-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1              | CUSIP: 92977YBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       105251 | PA      | $101606.75      | 0.00%             | 2035-10-20      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTGE SEC BCM 2000 A                                           | BOMBARDIER CAPITAL MORTGAGE SE BCM 2000 A A2               | CUSIP: 09774XBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16138542 | PA      | $1055063.65     | 0.00%             | 2030-06-15      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 04/33 2                             | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     23900000 | PA      | $22042945.60    | 0.01%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                                      | GSR MORTGAGE LOAN TRUST GSR 2003 2F 1A1                    | CUSIP: 36228FMM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        36501 | PA      | $36303.01       | 0.00%             | 2032-03-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1            | CUSIP: 75114NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40045818 | PA      | $8408676.70     | 0.00%             | 2046-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A Z 144A                                | CUSIP: ACI2J9894<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9694000 | PA      | $11718990.61    | 0.01%             | 2050-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8535 FR 05/55 FIXED 6.5                | CUSIP: 3132DWPU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1999801 | PA      | $2068214.52     | 0.00%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7620 FN 08/47 FIXED 3.5                        | CUSIP: 3140GWPE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       216609 | PA      | $201338.74      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A F 144A                         | CUSIP: ACI2SNZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      5650000 | PA      | $7640289.34     | 0.00%             | 2066-05-16      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3826 FN 12/26 FIXED 3                          | CUSIP: 3138X3HC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3991 | PA      | $3964.83        | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 481410 GN 07/28 FIXED 6.1                        | CUSIP: 36209TYF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11794 | PA      | $12004.04       | 0.00%             | 2028-07-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9026 FN 03/47 FIXED 4                          | CUSIP: 3140FHA49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       129509 | PA      | $124584.41      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-5                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 5 A2                      | CUSIP: 12544VAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55260 | PA      | $25646.44       | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.05205 08/02/23-01/02/26 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-13040404.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-5                                                   | HOME EQUITY ASSET TRUST HEAT 2005 5 M4                     | CUSIP: 437084MK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6051086 | PA      | $5945814.58     | 0.00%             | 2035-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535423 FN 07/30 FIXED VAR                        | CUSIP: 31384VYU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          282 | PA      | $292.00         | 0.00%             | 2030-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906131 FN 01/37 FIXED 6                          | CUSIP: 31411EVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          979 | PA      | $1025.54        | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2007-QO5 TRUST                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO5 A             | CUSIP: 74924AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62314824 | PA      | $9180724.57     | 0.00%             | 2047-08-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S1                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S1 1A11          | CUSIP: 46627MEH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       230452 | PA      | $107160.13      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-9                                                                | FANNIE MAE FNR 2003 9 NZ                                   | CUSIP: 31392HA45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19896 | PA      | $20841.99       | 0.00%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE2771 FN 08/26 FIXED 3.5                        | CUSIP: 31419DCH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2438 | PA      | $2423.70        | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1015 FN 09/53 FIXED 4.5                        | CUSIP: 3140A1DV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       846224 | PA      | $828640.84      | 0.00%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION 2007-EQ1                                 | STRUCTURED ASSET SECURITIES CO SASC 2007 EQ1 A3            | CUSIP: 86363HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3448352 | PA      | $1274069.55     | 0.00%             | 2037-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 3A1           | CUSIP: 933636AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6182416 | PA      | $5651810.44     | 0.00%             | 2037-04-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZJ3074 FR 10/28 FIXED 6.5                | CUSIP: 3131WTMX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2957 | PA      | $3052.23        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4300 FN 01/42 FIXED 3.5                        | CUSIP: 31417AX61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2435 | PA      | $2317.67        | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 932837 FN 12/25 FIXED 3                          | CUSIP: 31412RLS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          399 | PA      | $398.02         | 0.00%             | 2025-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-7                                                              | IMPAC CMB TRUST IMM 2004 7 M2                              | CUSIP: 45254NKL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40148 | PA      | $39425.93       | 0.00%             | 2034-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 607400 FN 11/31 FIXED 6.5                        | CUSIP: 31388KX56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1312 | PA      | $1354.95        | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR12                                                         | BCAP LLC TRUST BCAP 2009 RR12 2A2 144A                     | CUSIP: 05532GAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       403274 | PA      | $390114.85      | 0.00%             | 2035-03-26      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5167 FN 10/53 FIXED 6.5                        | CUSIP: 31418EW55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3492077 | PA      | $3614132.49     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE1851 FN 08/30 FIXED 4.5                        | CUSIP: 31419CBV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1759 | PA      | $1766.96        | 0.00%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6915 FN 09/26 FIXED 3.5                        | CUSIP: 3138WGVH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15632 | PA      | $15541.16       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS8                                              | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS8 MII1          | CUSIP: 76110WD52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       443722 | PA      | $435944.18      | 0.00%             | 2034-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0110 FN 08/47 FIXED 3.5                        | CUSIP: 3140Q7DQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5742 | PA      | $5361.95        | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A E 144A             | CUSIP: ACI2DJB29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     15394721 | PA      | $20728201.04    | 0.01%             | 2053-03-14      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RMS1                                              | STRUCTURED ASSET SECURITIES CO SASC 2005 RMS1 M2           | CUSIP: 86359B6T3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2424667 | PA      | $2291790.57     | 0.00%             | 2035-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                           | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A        | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7219640 | PA      | $7277416.86     | 0.00%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 A4A 144A     | CUSIP: 36263MAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18230602 | PA      | $15060187.46    | 0.01%             | 2052-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $26811712.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                                     | ACE SECURITIES CORP. ACE 2006 NC2 A2C                      | CUSIP: 00441XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25060125 | PA      | $7473996.85     | 0.00%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 2 A2                      | CUSIP: 12544CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       980845 | PA      | $411498.50      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-C                                                        | CENTEX HOME EQUITY CXHE 2002 C M1                          | CUSIP: 152314FS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       188956 | PA      | $189640.08      | 0.00%             | 2032-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                             | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 M1             | CUSIP: 86358EPC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5202674 | PA      | $5496676.15     | 0.00%             | 2034-11-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                       | CDW LLC/CDW FINANCE COMPANY GUAR 12/26 2.67                | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     64300000 | PA      | $63106694.88    | 0.03%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080109 G2 08/27 FLOATING VAR                  | CUSIP: 36225CDP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          173 | PA      | $174.09         | 0.00%             | 2027-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-161978.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2025-4A                                            | ROMARK CREDIT FUNDING LTD RCF 2025 4A A 144A               | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     93100000 | PA      | $93351370.00    | 0.05%             | 2043-07-29      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2214 FN 02/26 FIXED 3.5                        | CUSIP: 31416XN89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          208 | PA      | $207.19         | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260518                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $11152.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                       | CDW LLC/CDW FINANCE COMPANY GUAR 12/31 3.569               | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     51800000 | PA      | $48418535.89    | 0.02%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4025 FN 09/47 FIXED 3.5                        | CUSIP: 3140FBPK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       560994 | PA      | $519637.95      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD1366 FN 02/55 FIXED 7                          | CUSIP: 3140B1QU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1135483 | PA      | $1189770.84     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                                         | NATIONAL FOOTBAL LEAGUE 4.5YR                              | CUSIP: 902EZU906<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38400000 | PA      | $39486756.48    | 0.02%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.63761 03/01/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-40916.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A2                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A2 2A2            | CUSIP: 761120AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19160977 | PA      | $5109579.13     | 0.00%             | 2037-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-SD1                                                             | GSAMP TRUST GSAMP 2005 SD1 M2 144A                         | CUSIP: 36242DWE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4935374 | PA      | $4794988.37     | 0.00%             | 2034-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0085 FN 12/46 FIXED 4                          | CUSIP: 3140FKCX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87089 | PA      | $83672.88       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-2                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 2 A1             | CUSIP: 05950GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1559431 | PA      | $1388628.44     | 0.00%             | 2046-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-9                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 9 1CB            | CUSIP: 93934FEL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       932464 | PA      | $925715.21      | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/17/25-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2318610.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8308 FR 03/53 FIXED 5.5                | CUSIP: 3132DWGR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1034790 | PA      | $1048638.73     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR4                                              | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR4 2A1          | CUSIP: 94983PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1244228 | PA      | $1234374.73     | 0.00%             | 2036-04-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4818 FN 10/52 FIXED 6                          | CUSIP: 31418EK82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49901 | PA      | $51237.69       | 0.00%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL6                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL6 B2 144A        | CUSIP: 12654UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423158051 | PA      | $312029087.65   | 0.15%             | 2058-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3              | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3955074 | PA      | $4200338.07     | 0.00%             | 2037-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-2                                                     | LEHMAN MORTGAGE TRUST LMT 2005 2 5A4                       | CUSIP: 52520MCL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3155754 | PA      | $1930983.11     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5472 FN 09/54 FIXED 6.5                        | CUSIP: 31418FCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999900 | PA      | $1034305.15     | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-610743.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $99035.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-703041.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1900 FN 05/47 FIXED VAR                        | CUSIP: 3140J6DE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       124986 | PA      | $124121.55      | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-LTV2                                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2025 LTV2 PT 144A           | CUSIP: 46594BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225618990 | PA      | $234500752.15   | 0.12%             | 2055-12-25      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2019-RPL5                                                            | CSMCM TRUST CERTIFICATES CSMCM 2019 RPL5 CERT 144A         | CUSIP: 12653YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31241678 | PA      | $25052529.57    | 0.01%             | 2049-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2021-4 LTD                                                            | CANYON CAPITAL CLO LTD CANYC 2021 4A AR 144A               | CUSIP: 13877PAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7000000 | PA      | $7000326.41     | 0.00%             | 2034-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $334889.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-27653.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 2A1           | CUSIP: 02151ABW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9608136 | PA      | $4026705.63     | 0.00%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                                    | EGYPT GOVERNMENT BOND BONDS 03/28 21.954                   | CUSIP: ACI2VM0V0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |  23763600000 | PA      | $496517701.32   | 0.25%             | 2028-03-04      | Fixed         | 21.95%                | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS4X                                                    | RMAC SECURITIES PLC RMACS 2006 NS4X M1C REGS               | CUSIP: B1LGL0II7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1964762 | PA      | $2255608.10     | 0.00%             | 2044-06-12      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP2                                                             | RAAC SERIES RAAC 2007 RP2 M1 144A                          | CUSIP: 74919WAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17807617 | PA      | $17641033.81    | 0.01%             | 2046-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $428414.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 3A1                  | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6288987 | PA      | $5752549.84     | 0.00%             | 2047-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 08/34 5.4                  | CUSIP: ACI1CNG93<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     60700000 | PA      | $16933692.49    | 0.01%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA2662 FN 02/39 FIXED 4.5                        | CUSIP: 31416K5Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          370 | PA      | $369.30         | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-HE1                                               | MASTR ASSET BACKED SECURITIES MABS 2007 HE1 A3             | CUSIP: 576457AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       654951 | PA      | $636823.14      | 0.00%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY5895 FN 08/53 FIXED 6                          | CUSIP: 3140NNRR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1147298 | PA      | $1180001.14     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-13                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 13 2A11          | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3587106 | PA      | $1537831.95     | 0.00%             | 2036-02-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2004-6                                               | HOME EQUITY ASSET TRUST HEAT 2004 6 M5                     | CUSIP: 437084EX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1215273 | PA      | $1223816.66     | 0.00%             | 2034-12-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.60000 01/16/24-2Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $52775551.77    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2024-3A                                            | LENDBUZZ SECURITIZATION TRUST LBZZ 2024 3A A2 144A         | CUSIP: 52609YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15678319 | PA      | $15695971.48    | 0.01%             | 2029-10-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2006-2                                                           | CHASEFLEX TRUST CFLX 2006 2 A4                             | CUSIP: 16165MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3008884 | PA      | $2756476.85     | 0.00%             | 2036-09-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX6655 FR 02/55 FIXED 7                  | CUSIP: 31426CMD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1482276 | PA      | $1554284.43     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8386 FN 03/53 FIXED 5.5                        | CUSIP: 3140NDJ81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2431392 | PA      | $2461288.58     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                               | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A3             | CUSIP: 76114QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1629098 | PA      | $593150.09      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9256 FN 02/47 FIXED 4                          | CUSIP: 3140FVJA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       292863 | PA      | $281376.81      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1795 FN 11/47 FIXED 4.5                        | CUSIP: 3140H27H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       133626 | PA      | $132011.15      | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3B          | CUSIP: 17311XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60607079 | PA      | $44676448.01    | 0.02%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3386 FR 07/53 FIXED 5.5                | CUSIP: 3132DQXP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19546459 | PA      | $19819147.30    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TR 2004-7                                                | MASTR ALTERNATIVE LOANS TRUST MALT 2004 7 1A1              | CUSIP: 576434TC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       581597 | PA      | $590328.42      | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-6AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 6AR 6A             | CUSIP: 61748HBT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       288922 | PA      | $262948.59      | 0.00%             | 2034-08-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2B               | CUSIP: 61753VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23569916 | PA      | $7471161.43     | 0.00%             | 2037-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BI0605 G2 07/48 FIXED 4                       | CUSIP: 3617H9U65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       524739 | PA      | $496150.09      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-AR1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 AR1 3A             | CUSIP: 65535VDR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       659144 | PA      | $647210.01      | 0.00%             | 2034-08-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-3                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M4                   | CUSIP: 66987XHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2599287.00     | 0.00%             | 2036-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A4           | CUSIP: 14454AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4291180 | PA      | $3301328.37     | 0.00%             | 2036-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE2                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE2 2A1           | CUSIP: 92926SAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40174 | PA      | $14542.63       | 0.00%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897819 FN 09/36 FIXED 6                          | CUSIP: 31410UPC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8013 | PA      | $8422.61        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VIII LTD                                                            | TRINITAS CLO LTD TRNTS 2018 8A A 144A                      | CUSIP: 89642RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4000353 | PA      | $4003571.01     | 0.00%             | 2031-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021-5                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2021 5 M1 144A               | CUSIP: 03465HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3345000 | PA      | $2516696.38     | 0.00%             | 2066-07-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 771547 FN 03/34 FIXED 4.5                        | CUSIP: 31404LEU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          416 | PA      | $412.27         | 0.00%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/49 2.875                                | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      3300000 | PA      | $2408226.55     | 0.00%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A1           | CUSIP: 761118PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1252392 | PA      | $1089322.57     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A1                 | CUSIP: 46628KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       226348 | PA      | $184921.32      | 0.00%             | 2036-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN0936 FN 12/48 FIXED 4                          | CUSIP: 3140JHBE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       650949 | PA      | $626182.89      | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2005 WMC1 M5            | CUSIP: 57643LHA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2934419 | PA      | $2936360.58     | 0.00%             | 2035-03-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MV5              | CUSIP: 1266732L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3102068 | PA      | $3079315.25     | 0.00%             | 2035-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8247 FN 11/25 FIXED 3.5                        | CUSIP: 31419KEV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          343 | PA      | $341.80         | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF4184 FR 12/52 FIXED 6                  | CUSIP: 3133BRUH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       425936 | PA      | $436992.46      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2A               | CUSIP: 61753KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2626657 | PA      | $1118324.09     | 0.00%             | 2037-03-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1159 FN 07/47 FIXED 3.5                        | CUSIP: 3140Q8JD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       540433 | PA      | $505065.63      | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A2           | CUSIP: 93364FAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6721515 | PA      | $6177585.31     | 0.00%             | 2037-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.55000 08/03/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $3852574.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2                     | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2604957 | PA      | $2495529.89     | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTGE 2004-14                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 14 1A             | CUSIP: 863579CB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       546110 | PA      | $522762.70      | 0.00%             | 2034-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2001-1                                                | CONSECO FINANCE SECURITIZATION CNF 2001 1 A5               | CUSIP: 20846QGC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6710575 | PA      | $6826962.03     | 0.00%             | 2031-07-01      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BRC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $429243.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/43 3.75                                 | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    355213000 | PA      | $314627140.54   | 0.16%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54462 FG 02/48 FIXED 4                  | CUSIP: 3132XW5Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3534721 | PA      | $3397752.99     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX--0A08AGAD6-20380125                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-37178.99      | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.00000 12/21/22-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $18631669.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2595 FN 04/46 FIXED 4                          | CUSIP: 31418B3D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       781354 | PA      | $751643.62      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1501 FN 05/53 FIXED 5.5                        | CUSIP: 3140NHU30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       751669 | PA      | $759514.16      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK2581 FN 03/48 FIXED 3.5                        | CUSIP: 3140HF2P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       763371 | PA      | $706866.96      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES3                                              | TOWD POINT MORTGAGE TRUST TPMT 2025 CES3 A1A 144A          | CUSIP: 891949BU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68484599 | PA      | $68924105.61    | 0.03%             | 2065-08-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2005-NC1                                              | HSI ASSET SECURITIZATION CORPO HASC 2005 NC1 M3            | CUSIP: 40430HAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       631768 | PA      | $610186.71      | 0.00%             | 2035-07-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35           | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18162881 | PA      | $17541651.92    | 0.01%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73500 01/23/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $392198.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A B 144A         | CUSIP: 210927AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35989854 | PA      | $37314060.84    | 0.02%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/48 3                                    | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2585000 | PA      | $1944202.75     | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV9221 FN 03/44 FIXED 4                          | CUSIP: 3138XMG79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58988 | PA      | $57037.83       | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2.5 JUMBOS                               | CUSIP: 21H0226B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    110550000 | PA      | $95197774.47    | 0.05%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A4           | CUSIP: 44328AAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1712448 | PA      | $618081.21      | 0.00%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CTFS 2006-9                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 9 A6             | CUSIP: 93935WAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6280008 | PA      | $1695119.23     | 0.00%             | 2036-10-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 5.625      | CUSIP: 65480CAK1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      3600000 | PA      | $3604569.62     | 0.00%             | 2028-09-29      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2025-NQM6                                           | BARC 2025 NQM6 PT 144A                                     | CUSIP: 990AAWEL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261723074 | PA      | $269586423.29   | 0.13%             | 2075-10-01      | Fixed         | 7.64%                 | No            |                  3 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2025-1                                | FREDDIE MAC   SCRT SCRT 2025 1 M 144A                      | CUSIP: 35563VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7100000 | PA      | $6019749.20     | 0.00%             | 2064-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR10                                                         | BCAP LLC TRUST BCAP 2010 RR10 4A11 144A                    | CUSIP: 05533HCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2571737 | PA      | $2457868.00     | 0.00%             | 2037-09-27      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S1                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S1 1A19          | CUSIP: 46627MER4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3787999 | PA      | $1905107.38     | 0.00%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 09/33 6.375                      | CUSIP: ACI2JSF94<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     43500000 | PA      | $53627317.58    | 0.03%             | 2033-09-18      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5018 FR 11/39 FIXED 3.5                | CUSIP: 3133KYSF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6656583 | PA      | $6389255.85     | 0.00%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251215                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $1639141.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.64500 08/07/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-301017.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC3 A2D               | CUSIP: 61744CZD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3803588 | PA      | $3728419.66     | 0.00%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 1A1 144A       | CUSIP: 12597GAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123676180 | PA      | $119722524.55   | 0.06%             | 2059-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-1A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMS 2015 1A AR3 144A       | CUSIP: 14311DBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3677216 | PA      | $3682731.86     | 0.00%             | 2031-07-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                                   | CARMAX AUTO OWNER TRUST CARMX 2024 4 A2A                   | CUSIP: 14290DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17917973 | PA      | $17952731.86    | 0.01%             | 2027-12-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A E 144A         | CUSIP: 210927AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19494261 | PA      | $19808104.51    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6356 FN 12/45 FIXED 4                          | CUSIP: 3138WGB29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       577326 | PA      | $547879.34      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20251003                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $36584.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2006-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2006 1 M6               | CUSIP: 65106AAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16346544 | PA      | $15719047.58    | 0.01%             | 2036-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2007-2                                          | MASTR ASSET SECURITIZATION TRU MASTR 2007 2 A2             | CUSIP: 57646NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3700503 | PA      | $1886505.75     | 0.00%             | 2038-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2006-B                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 B M1             | CUSIP: 73316PKJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2319988 | PA      | $2210831.23     | 0.00%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-ALT1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 ALT1 A3            | CUSIP: 92978GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7797290 | PA      | $2674481.47     | 0.00%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH4466 G2 06/48 FIXED 4                       | CUSIP: 3617H16B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1149166 | PA      | $1088693.35     | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.20250 01/10/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $8556059.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 6 M2                   | CUSIP: 07386HJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1875030 | PA      | $2169543.13     | 0.00%             | 2034-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-3 LLC                                                                  | PRP ADVISORS, LLC PRPM 2025 3 A1 144A                      | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7453383 | PA      | $7475851.47     | 0.00%             | 2030-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-133.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                              | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M3                | CUSIP: 70069FLJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16414390 | PA      | $15880814.30    | 0.01%             | 2035-07-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A4          | CUSIP: 92922F4D7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3014671 | PA      | $2865429.74     | 0.00%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2C           | CUSIP: 81377JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28506388 | PA      | $6093602.43     | 0.00%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                              | ELEVATION CLO LTD AWPT 2018 3A A1R2 144A                   | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     77200000 | PA      | $77472271.28    | 0.04%             | 2035-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                                  | HOUT BAY HOUT 2006 1A A2 144A                              | CUSIP: 442451AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     34164656 | PA      | $38264.41       | 0.00%             | 2041-07-05      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2024-3A                                                 | OCTANE RECEIVABLES TRUST OCTL 2024 3A A2 144A              | CUSIP: 67571GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11816551 | PA      | $11884925.07    | 0.01%             | 2030-05-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3027 FN 06/47 FIXED 4                          | CUSIP: 31418CLH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       688061 | PA      | $664422.88      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260519                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1575003.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 1A3          | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       148761 | PA      | $141741.60      | 0.00%             | 2035-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB3             | CUSIP: 05950BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        61263 | PA      | $53621.96       | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO 2022-2A LTD                                                          | INVESCO CLO 2022 2, LTD. INVCO 2022 2A A1R 144A            | CUSIP: 46145XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     47800000 | PA      | $47993707.11    | 0.02%             | 2035-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A             | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42664465 | PA      | $22515817.42    | 0.01%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-8XS                                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 8XS A1             | CUSIP: 61754PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2113542 | PA      | $1020744.53     | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 07/28 2.45                       | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      7500000 | PA      | $6975247.20     | 0.00%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2004-23XS                                            | STRUCTURED ASSET SECURITIES CO SASC 2004 23XS M1           | CUSIP: 86359BU74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       793548 | PA      | $835799.55      | 0.00%             | 2035-01-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC2 A2D               | CUSIP: 617451EF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1935871 | PA      | $1928867.22     | 0.00%             | 2036-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE TRUST 2005-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 3 2A3            | CUSIP: 05949A3Q1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1451239 | PA      | $1330127.21     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M4              | CUSIP: 126670LS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11300000 | PA      | $10973437.90    | 0.01%             | 2036-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4711 FR 02/47 FIXED 2.5                | CUSIP: 3132A5GU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35201 | PA      | $30579.69       | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-961870.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1           | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7881693 | PA      | $2680031.01     | 0.00%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2927 FN 10/27 FIXED VAR                        | CUSIP: 3138EKHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49039 | PA      | $48636.14       | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $1479261.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A2A          | CUSIP: 92922FZF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       549952 | PA      | $539782.16      | 0.00%             | 2044-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4851                                                          | FREDDIE MAC FHR 4851 KO                                    | CUSIP: 3137FKAP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7502105 | PA      | $6194755.11     | 0.00%             | 2057-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9486 FN 04/47 FIXED 4                          | CUSIP: 3138WKRG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54542 | PA      | $52467.72       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4758 FN 10/46 FIXED 3.5                        | CUSIP: 3140F0JC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93250 | PA      | $87185.91       | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 4F 4A1                    | CUSIP: 362669AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       135237 | PA      | $30697.34       | 0.00%             | 2037-07-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.87400 03/05/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2030089.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A            | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5043742 | PA      | $4611167.52     | 0.00%             | 2046-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST 2021-2                                            | HOME PARTNERS OF AMERICA TRUST HPA 2021 2 A 144A           | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17509665 | PA      | $17010713.06    | 0.01%             | 2026-12-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R4                                                                | CIM TRUST CIM 2023 R4 A1 144A                              | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17394149 | PA      | $17394294.63    | 0.01%             | 2062-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7774 FR 02/53 FIXED 5.5                | CUSIP: 3133BVT70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       685330 | PA      | $694467.07      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 M2               | CUSIP: 126673BD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3595 | PA      | $3585.15        | 0.00%             | 2034-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7530 FN 11/28 FIXED VAR                        | CUSIP: 3138EQLL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10376 | PA      | $10321.78       | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A1                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A1 A2B            | CUSIP: 59023MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6341602 | PA      | $1914499.97     | 0.00%             | 2037-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2024-B                                         | WORLD OMNI AUTO RECEIVABLES TR WOART 2024 B A3             | CUSIP: 98164HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25900000 | PA      | $26190450.37    | 0.01%             | 2029-09-17      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA5164 FN 02/50 FIXED 3.5                        | CUSIP: 3140QCW28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27567 | PA      | $25303.22       | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 695007 FN 03/33 FIXED 6.5                        | CUSIP: 31400RDL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          323 | PA      | $333.18         | 0.00%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A4 144A        | CUSIP: 39571VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25066204 | PA      | $25240032.92    | 0.01%             | 2060-06-25      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| HEXAGON IV RE LTD                                                                | HEXAGON IV RE LTD HEXAGON IV RE LTD                        | CUSIP: ACI2L2QX3<br>LEI: 984500B4771ADC9FDE26 | Long             | DBT              | CORP              | BM        |     21312000 | PA      | $25425462.81    | 0.01%             | 2031-01-07      | Floating      | 10.45%                | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC                             | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2023 3A A 144A          | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15684309 | PA      | $15709253.31    | 0.01%             | 2032-01-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF2             | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3890636 | PA      | $951298.34      | 0.00%             | 2037-06-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 X 144A       | CUSIP: 36265TAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    296213264 | PA      | $21876090.04    | 0.01%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2023-1A                                               | BANK OF AMERICA AUTO TRUST BAAT 2023 1A A3 144A            | CUSIP: 06428AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9630747 | PA      | $9710261.79     | 0.00%             | 2028-02-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-AC2                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AC2 2A2          | CUSIP: 073879SU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       407560 | PA      | $386842.45      | 0.00%             | 2035-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| VB DPR FINANCE COMPANY                                                           | TURKIYE VAKIFLAR BANKASI TAO I 2024 EUR DDTL               | CUSIP: BA0008CR7<br>LEI: 549300Y3LKKHCL3AQW08 | Long             | LON              | CORP              | TR        |     20200000 | PA      | $23820406.14    | 0.01%             | 2028-12-15      | Floating      | 5.01%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2689 FN 05/47 FIXED 4                          | CUSIP: 3140FM7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1678372 | PA      | $1614546.52     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 3A2           | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32764 | PA      | $32006.96       | 0.00%             | 2034-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750PJ85 PIMCO FXVAN PUT USD TRY 41.60000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -23600000 | NC      | $-19540.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7416 FN 03/46 FIXED 4.5                        | CUSIP: 3138WHG22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3705 | PA      | $3677.58        | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR4                                                          | BCAP LLC TRUST BCAP 2009 RR4 6A2 144A                      | CUSIP: 05531RAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7097129 | PA      | $3741089.82     | 0.00%             | 2036-07-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3147                                                                 | FREDDIE MAC FHR 3147 LS                                    | CUSIP: 31396NKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2598142 | PA      | $323677.82      | 0.00%             | 2036-04-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2003-3                                              | SAXON ASSET SECURITIES TRUST SAST 2003 3 M1                | CUSIP: 805564PE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1158849 | PA      | $1130704.15     | 0.00%             | 2033-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-AR1                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AR1 A1 144A       | CUSIP: 59020VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19447011 | PA      | $6397592.16     | 0.00%             | 2037-03-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                    | HESTIA RE LTD UNSECURED 144A 03/32 VAR                     | CUSIP: 42815KAC6<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |      3400000 | PA      | $3474970.00     | 0.00%             | 2032-03-13      | Floating      | 10.71%                | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S3                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S3 A5            | CUSIP: 46628VAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19273040 | PA      | $15878510.24    | 0.01%             | 2036-08-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 4A1                 | CUSIP: 46628BCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       585765 | PA      | $457649.07      | 0.00%             | 2036-10-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55151 FG 04/48 FIXED 4                  | CUSIP: 3132XXWM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3164498 | PA      | $3041234.18     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 351141 FN 06/26 FIXED 6.5                        | CUSIP: 31376CBJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          903 | PA      | $931.42         | 0.00%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2671 FN 07/46 FIXED 3.5                        | CUSIP: 31418B6H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26191 | PA      | $24507.41       | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO 2006-BC4                                          | STRUCTURED ASSET SECURITIES CO SASC 2006 BC4 A5            | CUSIP: 86359RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38715000 | PA      | $23333236.27    | 0.01%             | 2036-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2996 FN 06/45 FIXED 4                          | CUSIP: 3138YGKJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12199 | PA      | $11736.79       | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2007-2         | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 2 2A1            | CUSIP: 93936HAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4365630 | PA      | $4302330.01     | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6169 FN 01/48 FIXED 4                          | CUSIP: 3140H72B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17306 | PA      | $16588.96       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/26 0.125                                | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    676380516 | PA      | $674068931.48   | 0.33%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2002 FN 10/47 FIXED VAR                        | CUSIP: 3140J6GL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    238699356 | PA      | $229621583.53   | 0.11%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/20/23-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-8250789.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $716936.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                            | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6               | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21172625 | PA      | $4051856.02     | 0.00%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.11 SP SAL                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $453055.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA0682 FR 06/49 FIXED 3.5                | CUSIP: 31334WXK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       177079 | PA      | $164015.61      | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2884 FN 01/27 FIXED 2                          | CUSIP: 31418CF25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19469 | PA      | $19207.77       | 0.00%             | 2027-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60500 08/28/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $7201.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $437347.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1634 FN 06/49 FIXED VAR                        | CUSIP: 3140X4Y83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4014 | PA      | $3718.58        | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2001-2                                              | SAXON ASSET SECURITIES TRUST SAST 2001 2 M1                | CUSIP: 805564JR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       143349 | PA      | $125007.46      | 0.00%             | 2031-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                                            | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A1A 144A       | CUSIP: 36829JAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2148121 | PA      | $2011298.03     | 0.00%             | 2036-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO8700 FN 07/42 FIXED 4                          | CUSIP: 3138M0U24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69322 | PA      | $67474.27       | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A5            | CUSIP: 32028GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46013 | PA      | $47515.96       | 0.00%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                 | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B C 144A         | CUSIP: 02007G4D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3422033 | PA      | $3440472.55     | 0.00%             | 2032-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 B2 144A       | CUSIP: 17329NAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45054700 | PA      | $31504854.91    | 0.02%             | 2065-03-01      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA YCRT 144A                    | CUSIP: ACI12VLV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         9500 | PA      | $4802118.92     | 0.00%             | 2054-05-28      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-1                                                 | IMPAC SECURED ASSETS CORP. IMSA 2006 1 2M3                 | CUSIP: 45254TUA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       241959 | PA      | $240386.66      | 0.00%             | 2036-05-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2626 FN 11/46 FIXED 3.5                        | CUSIP: 3140EW4L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48559 | PA      | $45245.31       | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/0.17625 04/27/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-3845096.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-15                                                        | FANNIE MAE FNR 2013 15 LI                                  | CUSIP: 3136ACK67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       694627 | PA      | $111044.85      | 0.00%             | 2042-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 1A1           | CUSIP: 12668ATN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17013849 | PA      | $13029251.33    | 0.01%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3621 FN 03/39 FIXED 3.5                        | CUSIP: 31418DAX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       185464 | PA      | $178540.66      | 0.00%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2006-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2006 1 M5               | CUSIP: 65106AAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5500000 | PA      | $5473244.15     | 0.00%             | 2036-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5603 FN 01/55 FIXED 7                          | CUSIP: 31418FGM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       500000 | PA      | $524056.38      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG8691 FR 08/53 FIXED 4.5                | CUSIP: 3133C9UQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1123638 | PA      | $1095238.17     | 0.00%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 15 A6                     | CUSIP: 12543UAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        95264 | PA      | $42716.69       | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-3                                                     | LEHMAN MORTGAGE TRUST LMT 2007 3 1A2                       | CUSIP: 52521JAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11884484 | PA      | $1162146.26     | 0.00%             | 2037-03-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.20000 10/18/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3344764.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LN TR INC 2007-AMC4                                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC4 M1           | CUSIP: 17313BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25634653 | PA      | $24499681.30    | 0.01%             | 2037-05-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV7              | CUSIP: 126673C26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1898961.60     | 0.00%             | 2035-08-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-C                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 C 2A1            | CUSIP: 0605067L0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       132603 | PA      | $125257.28      | 0.00%             | 2033-04-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3901 FN 11/26 FIXED 3                          | CUSIP: 31417AKP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14592 | PA      | $14479.05       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6680 FN 12/45 FIXED 4.5                        | CUSIP: 3140EBM65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       428759 | PA      | $423600.42      | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                                           | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A             | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     27150845 | PA      | $27176463.28    | 0.01%             | 2031-06-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA9360 FR 04/50 FIXED 3.5                | CUSIP: 3133A4MH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       369360 | PA      | $341297.75      | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP SAL                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1484325.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE4                                                             | GSAMP TRUST GSAMP 2006 HE4 M1                              | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7100000 | PA      | $6169742.38     | 0.00%             | 2036-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI6156 FN 07/41 FIXED 4                          | CUSIP: 3138AKZW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1511242 | PA      | $1462837.65     | 0.00%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5039 FN 01/53 FIXED 5.5                        | CUSIP: 3140N9S56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50423543 | PA      | $51073983.46    | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.46750 07/27/23-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4448440.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $82267.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES INC 2006-4                                          | CITICORP MORTGAGE SECURITIES, CMSI 2006 4 1A9              | CUSIP: 17310DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2003975 | PA      | $1852907.30     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECS XVII LTD                                                     | PREFERRED TERM SECS XVII SECURED 144A 06/35 VAR            | CUSIP: 74042EAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     10965000 | PA      | $9704025.00     | 0.00%             | 2035-06-23      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3306 FN 03/48 FIXED 4                          | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1988812 | PA      | $1915901.75     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJUSTABLE RATE MORTGAGE LOAN TRUST 2007-3                              | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 3 2A1            | CUSIP: 85554NAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1987546 | PA      | $1769512.17     | 0.00%             | 2037-06-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1A 144A            | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    369700000 | PA      | $368786582.21   | 0.18%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF11                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF11 2A3           | CUSIP: 32028PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19366411 | PA      | $18875927.34    | 0.01%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/33 1.375                                | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2612288575 | PA      | $2573032931.27  | 1.27%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2025-7                                                          | PRP ADVISORS, LLC PRPM 2025 7 A1 144A                      | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74634590 | PA      | $74798935.80    | 0.04%             | 2030-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 1A7           | CUSIP: 92922FBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       577523 | PA      | $573770.24      | 0.00%             | 2033-09-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 3A1           | CUSIP: 45661EGG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       449132 | PA      | $389461.82      | 0.00%             | 2036-06-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 3A                                                  | ALESCO PREFERRED FUNDING LTD ALESC 3A A2 144A              | CUSIP: 01448MAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2161795 | PA      | $2123963.86     | 0.00%             | 2034-05-01      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM41 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-543122.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OZLME IV DAC A4                                                                  | OZLME OZLME 4A AR 144A                                     | CUSIP: ACI2W69B9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    102300000 | PA      | $120430411.97   | 0.06%             | 2038-04-27      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO8663 FN 03/50 FIXED 3.5                        | CUSIP: 3140K4TV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       880073 | PA      | $813117.71      | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A D 144A              | CUSIP: ACI2PHM28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     12197762 | PA      | $16612416.29    | 0.01%             | 2048-06-20      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-4                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 4 2A3             | CUSIP: 225458PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3118053 | PA      | $2172101.83     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM34 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $222385.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535614 FN 01/29 FLOATING VAR                     | CUSIP: 31384WAP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            7 | PA      | $7.06           | 0.00%             | 2029-01-01      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET I SHARES                               | CUSIP: ACI01UNP7<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $20271.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $333955.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52562 FG 12/47 FIXED 3.5                | CUSIP: 3132XUZ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5849 | PA      | $5448.57        | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA ROMANIA                                            | CUSIP: ACI2MY5W7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     24850000 | PA      | $28414270.82    | 0.01%             | 2036-02-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6600 G2 04/50 FIXED 3.5                     | CUSIP: 36179VKM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1306143 | PA      | $1202777.69     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-PR1X                                                           | EUROSAIL PLC ESAIL 2007 PR1X A1 REGS                       | CUSIP: B299X1II0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9951141 | PA      | $13312112.26    | 0.01%             | 2045-09-13      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS5                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS5 M1            | CUSIP: 75406VAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14657802 | PA      | $14398389.70    | 0.01%             | 2036-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 12A1          | CUSIP: 466278AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10372006 | PA      | $3819762.08     | 0.00%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                                      | WATR ISSUER TRUST WATR 2025 1 B 144A                       | CUSIP: 942611AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15970000 | PA      | $16018427.27    | 0.01%             | 2050-06-17      | Fixed         | 5.56%                 | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 12/25 0.00000                                | CUSIP: 912797RW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     17628000 | PA      | $17498269.20    | 0.01%             | 2025-12-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OPEN TRUST 2023-AIR                                                              | OPEN TRUST OPEN 2023 AIR A 144A                            | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6000639 | PA      | $6013274.30     | 0.00%             | 2040-11-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| KIZUNA RE III PTE LTD                                                            | KIZUNA RE III PTE LTD UNSECURED 144A 04/29 VAR             | CUSIP: 49835JAB2<br>LEI: 984500004749BBB42B88 | Long             | DBT              | CORP              | SG        |      6121000 | PA      | $6275249.20     | 0.00%             | 2029-04-09      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA1714 FN 10/45 FIXED 4                          | CUSIP: 3140E53Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       182841 | PA      | $175379.71      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A         | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1195360 | PA      | $1125008.92     | 0.00%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A1         | CUSIP: 92922F7P7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1376142 | PA      | $1268612.34     | 0.00%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0224A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2950000 | PA      | $2775372.01     | 0.00%             | 2040-10-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 7 1A               | CUSIP: 232422AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17401941 | PA      | $16622415.64    | 0.01%             | 2046-04-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                            | DIRECTV FINANCING LLC TERM LOAN                            | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       870520 | PA      | $872213.14      | 0.00%             | 2027-08-02      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8790 FR 03/53 FIXED 5.5                | CUSIP: 3133BWXT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7751593 | PA      | $7861526.50     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2012-8                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2012 8 2A2 144A        | CUSIP: 17319TAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       879393 | PA      | $579086.79      | 0.00%             | 2036-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6661 FN 01/48 FIXED 4                          | CUSIP: 3140H8MK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       287992 | PA      | $276964.25      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2005-WMC1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 WMC1 M2            | CUSIP: 92977YAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3475313 | PA      | $3210707.66     | 0.00%             | 2035-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/43 3.625                                | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    480378000 | PA      | $419279923.13   | 0.21%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH1527 FN 12/25 FIXED 3.5                        | CUSIP: 3138A2VV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3659 | PA      | $3646.92        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-10                                                   | SEQUOIA MORTGAGE TRUST SEMT 2004 10 A3A                    | CUSIP: 81744FEW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        56105 | PA      | $52150.23       | 0.00%             | 2034-11-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/9.15000 01/06/25-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $4109976.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUST SERIES 2005-FFH1                              | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH1 M2            | CUSIP: 32027NTB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7646910 | PA      | $7535408.42     | 0.00%             | 2036-06-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $27699335.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/44 3.125                                | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    478709000 | PA      | $383434688.06   | 0.19%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2834 FN 12/46 FIXED 3.5                        | CUSIP: 31418CEG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7105 | PA      | $6644.71        | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2025-HYB1                                             | J P MORGAN MTG TR 2025 HYB1 01/56 1                        | CUSIP: 46594FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210916543 | PA      | $215423133.50   | 0.11%             | 2056-01-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080259 G2 02/29 FLOATING VAR                  | CUSIP: 36225CJD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1663 | PA      | $1672.45        | 0.00%             | 2029-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7299 FN 08/27 FIXED VAR                        | CUSIP: 3138EQDD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4528 | PA      | $4500.66        | 0.00%             | 2027-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-4                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 4 3A1             | CUSIP: 576433MC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        56098 | PA      | $54707.80       | 0.00%             | 2034-05-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-AG1                                                     | ACE SECURITIES CORP. ACE 2005 AG1 M1                       | CUSIP: 004427CC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2283517 | PA      | $2250238.64     | 0.00%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C               | CUSIP: 61750SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33457674 | PA      | $14714962.82    | 0.01%             | 2036-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC1                                           | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC1 A2C              | CUSIP: 61744CXM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4044727 | PA      | $3987521.68     | 0.00%             | 2035-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5121 FN 01/47 FIXED 3.5                        | CUSIP: 3140F0VP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9236 | PA      | $8657.78        | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J1                        | COUNTRYWIDE HOME LOANS CWHL 2007 J1 2A1                    | CUSIP: 12669MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2398626 | PA      | $855605.04      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGE PLC 2007-2                                                  | EUROHOME UK MORTGAGES PLC EHMU 2007 2 M1 REGS              | CUSIP: B24529II0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1600000 | PA      | $2138213.27     | 0.00%             | 2044-09-15      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 11 1A2                    | CUSIP: 36242DFQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       216695 | PA      | $219149.47      | 0.00%             | 2034-09-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2012-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2012 4 2A 144A          | CUSIP: 74931PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10409275 | PA      | $7046760.66     | 0.00%             | 2047-02-28      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6152 FR 01/39 FIXED 4                  | CUSIP: 31329PZR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5701671 | PA      | $5608659.92     | 0.00%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2268867.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-4                                                   | GSR MORTGAGE LOAN TRUST GSR 2004 4 2A2                     | CUSIP: 36228FD45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6927 | PA      | $6743.72        | 0.00%             | 2032-04-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8268 FR 11/52 FIXED 5.5                | CUSIP: 3132DWFH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19024 | PA      | $19303.67       | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2888 FN 01/47 FIXED 2.5                        | CUSIP: 31418CF66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       114103 | PA      | $99360.61       | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO5                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO5 A1            | CUSIP: 761118QM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8860599 | PA      | $6916540.12     | 0.00%             | 2046-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 12/29 4.625                      | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      6100000 | PA      | $5918410.44     | 0.00%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6737 FN 02/26 FIXED 4                          | CUSIP: 3138A8PX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1696 | PA      | $1689.77        | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5421 FN 07/54 FIXED 6                          | CUSIP: 31418FAX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40415294 | PA      | $41338930.22    | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-741668.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0392 FN 10/39 FIXED VAR                        | CUSIP: 31418MNJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       234148 | PA      | $235707.47      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2703 FR 04/27 FIXED 3                  | CUSIP: 31329LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       229313 | PA      | $227120.49      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-HE3                                            | STRUCTURED ASSET INVESTMENT LO SAIL 2005 HE3 M2            | CUSIP: 86358EWY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18793263 | PA      | $17022960.37    | 0.01%             | 2035-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3513 FN 07/47 FIXED 3.5                        | CUSIP: 3140FN3X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25256 | PA      | $23397.27       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC 2006-3                        | MLCC MORTGAGE INVESTORS INC MLCC 2006 3 2A1                | CUSIP: 59023PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6922214 | PA      | $5845680.67     | 0.00%             | 2036-10-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGGE ACQUIS CORP 2005-OPT2                                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 OPT2 M5          | CUSIP: 46626LEQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8591000 | PA      | $8136396.93     | 0.00%             | 2035-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES X LTD / PREFERRED TERM SECURITIES X INC                | PREFERRED TERM SECS X SR SECURED 144A 07/33 VAR            | CUSIP: 74040YAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       914856 | PA      | $914856.45      | 0.00%             | 2033-07-03      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MEDIAPRO (SUBCALIDORA 2 SARL)                                                    | SUBCALIDORA 2 2024 EUR TERM LOAN                           | CUSIP: BA0007DG2<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |    129849400 | PA      | $153212023.18   | 0.08%             | 2029-08-14      | Floating      | 7.75%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP JPM                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $916337.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-J3                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 J3 1A1                    | CUSIP: 12669D5Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20345 | PA      | $18720.66       | 0.00%             | 2033-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A4            | CUSIP: 146919AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26200000 | PA      | $26344042.36    | 0.01%             | 2030-09-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES1                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES1 A1A 144A        | CUSIP: 749427AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42232290 | PA      | $42759273.33    | 0.02%             | 2045-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE6 M1                | CUSIP: 61744CFB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        95174 | PA      | $93394.15       | 0.00%             | 2034-08-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A4            | CUSIP: 55275TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34225372 | PA      | $9639517.93     | 0.00%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2024-1A                                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2024 1A A3 144A       | CUSIP: 73328AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38800000 | PA      | $39006765.20    | 0.02%             | 2027-11-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-1                                           | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 1 A1              | CUSIP: 126670ZC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3169550 | PA      | $3034803.74     | 0.00%             | 2036-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9036 FN 11/47 FIXED 4                          | CUSIP: 3140GYBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       296947 | PA      | $285544.78      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-26A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 26A 5A            | CUSIP: 86359AT78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       388135 | PA      | $355277.53      | 0.00%             | 2033-09-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1938 FN 12/25 FIXED 3.5                        | CUSIP: 31416XEL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1881 | PA      | $1874.87        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-6                                              | RBSSP RESECURITIZATION TRUST RBSSP 2009 6 1A2 144A         | CUSIP: 74928XAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1137873 | PA      | $1083768.78     | 0.00%             | 2036-01-26      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-6                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 6 2A3            | CUSIP: 54251RAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8834829 | PA      | $3491352.02     | 0.00%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR1 2A1A                | CUSIP: 23332UGM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8860596 | PA      | $7258054.41     | 0.00%             | 2046-04-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/42 0.75                                 | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    266832974 | PA      | $211810013.12   | 0.10%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.46000 08/02/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $3669673.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85     | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      2720000 | PA      | $2479826.72     | 0.00%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5856 FN 10/55 FIXED 7                          | CUSIP: 31418FQJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1354081 | PA      | $1420242.09     | 0.00%             | 2055-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 589499 FN 08/31 FIXED 6.5                        | CUSIP: 31387N3G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1467 | PA      | $1514.13        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $167346.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A1            | CUSIP: 939336Z30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       343841 | PA      | $342561.34      | 0.00%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2005 NC2 M5                | CUSIP: 61744CPL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4234158 | PA      | $4090095.46     | 0.00%             | 2035-03-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1110427.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 B1 144A       | CUSIP: 17329HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36119000 | PA      | $30465419.35    | 0.02%             | 2060-10-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                                 | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E21                | CUSIP: 073866BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8803999 | PA      | $5860128.39     | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7599 FN 10/46 FIXED 4                          | CUSIP: 3140FFNR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14682 | PA      | $14108.28       | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 01/02/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-437115.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/9.13500 01/02/25-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $4020712.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8064 FR 05/50 FIXED 4                  | CUSIP: 3132DV5Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9573 | PA      | $9120.52        | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/27 5.3       | CUSIP: 928668CF7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    100000000 | PA      | $101368129.00   | 0.05%             | 2027-03-22      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS9770 FR 04/46 FIXED 4                  | CUSIP: 3132AA2B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89429 | PA      | $86037.73       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7306 FR 05/52 FIXED 4                  | CUSIP: 3133KPDK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39322 | PA      | $37270.54       | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC3                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC3 M7           | CUSIP: 76112BYZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12534000 | PA      | $11790939.36    | 0.01%             | 2035-08-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 B2 144A       | CUSIP: 17329AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30128300 | PA      | $25842672.85    | 0.01%             | 2060-09-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD0977 FN 04/46 FIXED 4                          | CUSIP: 3140F8CP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31753 | PA      | $30545.55       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A1 144A           | CUSIP: 617525AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39365375 | PA      | $24605989.24    | 0.01%             | 2036-12-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BF0610 GN 03/48 FIXED 3.5                        | CUSIP: 3617G6VB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       234247 | PA      | $219091.18      | 0.00%             | 2048-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WMALT MORTGAGE PASS-THRU CERT 2005-5                                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 5 CB1            | CUSIP: 93934FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       563186 | PA      | $490823.34      | 0.00%             | 2035-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-3                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 3 3CB1           | CUSIP: 93934FNM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1789958 | PA      | $1573834.65     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-CW1                                                     | ACE SECURITIES CORP. ACE 2006 CW1 A1                       | CUSIP: 00441QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8948952 | PA      | $8829816.68     | 0.00%             | 2036-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-AHL2                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 AHL2 M2           | CUSIP: 76110W5J1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8637218 | PA      | $8489097.27     | 0.00%             | 2035-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A R 144A         | CUSIP: 21056EAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16406807 | PA      | $7351797.52     | 0.00%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 B1 144A       | CUSIP: 17329NAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58822100 | PA      | $43257895.87    | 0.02%             | 2065-03-01      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A R 144A                          | CUSIP: ACI2M1B28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     40795000 | PA      | $47354570.45    | 0.02%             | 2035-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $251697.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 924742 FN 05/37 FIXED 6                          | CUSIP: 31412GLX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84792 | PA      | $87728.43       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6489 FN 01/47 FIXED 4.5                        | CUSIP: 3140FSF73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21003 | PA      | $20709.40       | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA3                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA3 3A4           | CUSIP: 74958TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        87990 | PA      | $70209.01       | 0.00%             | 2037-07-27      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL10                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP10 B1 144A        | CUSIP: 12655BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121189213 | PA      | $118127864.41   | 0.06%             | 2057-09-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TRUST-2005-11                                         | STRUCTURED ASSET INVESTMENT LO SAIL 2005 11 M1             | CUSIP: 86358EZU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42504350 | PA      | $35164656.02    | 0.02%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF9076 FR 03/53 FIXED 5.5                | CUSIP: 3133BXCM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11922218 | PA      | $12069504.61    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX3                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX3 A3           | CUSIP: 76113ACA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2279532 | PA      | $2283454.60     | 0.00%             | 2036-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M3            | CUSIP: 17307GWT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       682953 | PA      | $680871.40      | 0.00%             | 2035-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| COLT 2024-INV2 MORTGAGE LOAN TRUST                                               | COLT FUNDING LLC COLT 2024 INV2 A1 144A                    | CUSIP: 12622SAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5650832 | PA      | $5745143.75     | 0.00%             | 2069-05-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G07661 FG 08/43 FIXED 3                  | CUSIP: 3128M9Z21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37324 | PA      | $34370.57       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22902.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2D               | CUSIP: 61749BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7897916 | PA      | $4123696.98     | 0.00%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-2                                          | THORNBURG MORTGAGE SECURITIES TMST 2006 2 A2A              | CUSIP: 885220KV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3624365 | PA      | $3363793.47     | 0.00%             | 2036-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0288 FN 03/46 FIXED 4                          | CUSIP: 3140EUKA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1252574 | PA      | $1205465.67     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                                       | SANDSTONE PEAK LTD. SAND 2021 1A A1R 144A                  | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     72100000 | PA      | $72262225.00    | 0.04%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08846 FG 11/48 FIXED 3.5                | CUSIP: 3128MJ5G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73010 | PA      | $67712.27       | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2994 FN 05/47 FIXED 3.5                        | CUSIP: 31418CKG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1073883 | PA      | $1004161.46     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                                      | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR               | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |       400000 | PA      | $474692.16      | 0.00%             | 2028-07-05      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83444 FG 09/47 FIXED 3.5                | CUSIP: 3132L8ZH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55661 | PA      | $52001.21       | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR2                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR2 2A1           | CUSIP: 45660LY86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59263 | PA      | $55947.43       | 0.00%             | 2036-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8456 FR 08/54 FIXED 7                  | CUSIP: 3132DWMD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999900 | PA      | $1046416.87     | 0.00%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TRUST 2004-5                                             | MASTR ALTERNATIVE LOANS TRUST MALT 2004 5 6A1              | CUSIP: 576434RL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5649 | PA      | $5811.21        | 0.00%             | 2034-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-G                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 G A2                 | CUSIP: 59020UPA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1353 | PA      | $1314.10        | 0.00%             | 2030-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q35594 FG 08/45 FIXED 3                  | CUSIP: 3132QSGC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144937 | PA      | $131529.65      | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 1A1          | CUSIP: 45660LF20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5508804 | PA      | $3831784.46     | 0.00%             | 2035-11-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-WF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 WF1 M6            | CUSIP: 863576FN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4889000 | PA      | $4830435.16     | 0.00%             | 2036-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA5541 FN 04/50 FIXED 3                          | CUSIP: 3140QDEP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65865060 | PA      | $58962533.39    | 0.03%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A2                 | CUSIP: 46630GAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5091 | PA      | $5112.52        | 0.00%             | 2035-07-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4886 FN 07/53 FIXED 5.5                        | CUSIP: 3140NMNC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       842274 | PA      | $852994.46      | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS2699 FN 08/52 FIXED VAR                        | CUSIP: 3140XH7M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2175161 | PA      | $2168227.22     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                            | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 AV1           | CUSIP: 59024KAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20280949 | PA      | $9154065.81     | 0.00%             | 2037-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $17.47          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84062 FG 03/48 FIXED 3.5                | CUSIP: 3132L9QP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5627798 | PA      | $5231361.07     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60080 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-210868.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2004-RS8                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS8 MII2          | CUSIP: 76112BAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1251536 | PA      | $1262462.18     | 0.00%             | 2034-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA8965 FR 04/50 FIXED 3                  | CUSIP: 3133A36A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15692 | PA      | $13908.28       | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9902 G2 09/54 FIXED 3.5                     | CUSIP: 36180AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16623220 | PA      | $15254060.94    | 0.01%             | 2054-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2002-21A                                         | STRUCTURED ASSET SECURITIES CO SASC 2002 21A 1A1           | CUSIP: 86359ABP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        74372 | PA      | $74971.82       | 0.00%             | 2032-11-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2851 FN 05/43 FIXED 3.5                        | CUSIP: 3138WQEZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69509 | PA      | $65515.79       | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8221 FN 09/44 FIXED 4                          | CUSIP: 3138XYD35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1031370 | PA      | $994499.60      | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MTGE 20                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 5 2A             | CUSIP: 07384MS78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          289 | PA      | $273.38         | 0.00%             | 2034-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                          | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 B 144A        | CUSIP: 69544PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9486169 | PA      | $9503567.44     | 0.00%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                       | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A REGS 12/43 1    | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     65500000 | PA      | $20326968.22    | 0.01%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 6A1             | CUSIP: 058928AL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       194803 | PA      | $172917.22      | 0.00%             | 2036-03-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD 2025-1                                                          | SUNBIT ASSET SECURITIZATION TR SUNBT 2025 1 A 144A         | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31900000 | PA      | $32055410.42    | 0.02%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC11                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC11 2A3         | CUSIP: 23244JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23697834 | PA      | $20457337.88    | 0.01%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                              | ELEVATION CLO LTD AWPT 2018 3A BR2 144A                    | CUSIP: 28623VAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13400000 | PA      | $13426337.97    | 0.01%             | 2035-01-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 3 2A1                  | CUSIP: 07386HRV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        72928 | PA      | $69969.98       | 0.00%             | 2035-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-4Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $41800573.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA2825 FN 09/53 FIXED 6.5                        | CUSIP: 3140A3D75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2922610 | PA      | $3027601.31     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-10                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 10 1A12                   | CUSIP: 1266942J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1341446 | PA      | $513200.94      | 0.00%             | 2036-05-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3260 FN 01/48 FIXED VAR                        | CUSIP: 3140J7TS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4453 | PA      | $4152.19        | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL12                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP12 A1 144A        | CUSIP: 12655FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    531765762 | PA      | $514125603.17   | 0.25%             | 2060-10-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-4                                                | VERUS SECURITIZATION TRUST VERUS 2024 4 A1 144A            | CUSIP: 92540GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26028521 | PA      | $26400548.93    | 0.01%             | 2069-06-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR15                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR15 2A1          | CUSIP: 45669JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50351 | PA      | $35330.40       | 0.00%             | 2037-08-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $57642.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-2                                              | RBSSP RESECURITIZATION TRUST RBSSP 2010 2 4A2 144A         | CUSIP: 74929CAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5807632 | PA      | $5438407.07     | 0.00%             | 2036-10-26      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                       | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7       | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    140900000 | PA      | $43016085.60    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-10                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 10 2A2           | CUSIP: 54251YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6509927 | PA      | $1940628.05     | 0.00%             | 2036-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD1489 FN 09/46 FIXED 4                          | CUSIP: 3140F8UP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30286 | PA      | $29049.57       | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3120 FN 09/47 FIXED 3.5                        | CUSIP: 31418CPE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3122745 | PA      | $2913181.47     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2889 FN 11/45 FIXED 4                          | CUSIP: 3140E7F70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2516 | PA      | $2398.07        | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0634 FN 01/26 FIXED 3.5                        | CUSIP: 3138A1V40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          246 | PA      | $245.55         | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0352 FR 09/53 FIXED 5.5                | CUSIP: 3133CCL95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       810429 | PA      | $821133.94      | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDIGO CREDIT MANAGEMENT II DAC 2A                                               | INDIGO CREDIT MANAGEMENT INDI 2A A 144A                    | CUSIP: ACI2RZY31<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     93500000 | PA      | $110064922.77   | 0.05%             | 2038-07-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                                   | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000        | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |    142178000 | PA      | $107156004.15   | 0.05%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8090 FN 09/46 FIXED 3.5                        | CUSIP: 3140FF7C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1244666 | PA      | $1164119.88     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 3 2A3            | CUSIP: 68389BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18362169 | PA      | $9029739.68     | 0.00%             | 2037-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0185 FR 09/52 FIXED 5.5                | CUSIP: 3133BMF26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       203352 | PA      | $206199.68      | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 F 1A1            | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       158651 | PA      | $153401.22      | 0.00%             | 2034-07-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $33954.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A            | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         3579 | PA      | $1571834.03     | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                   | FREMONT HOME LOAN TRUST FHLT 2006 E 2A4                    | CUSIP: 35729NAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21838876 | PA      | $10108874.94    | 0.00%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA BANCO SANTANDER SA                      | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     61400000 | PA      | $65670696.03    | 0.03%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A            | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7062760 | PA      | $5934863.47     | 0.00%             | 2047-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1B 144A         | CUSIP: 83208DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82740102 | PA      | $82894635.28    | 0.04%             | 2055-03-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251023                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $33442.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 B1 144A       | CUSIP: 17330EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35743750 | PA      | $30676126.23    | 0.02%             | 2061-08-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5957 FN 05/27 FIXED VAR                        | CUSIP: 3138ENTP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          373 | PA      | $372.43         | 0.00%             | 2027-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2025-3A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2025 3A A2 144A            | CUSIP: 37989YAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61600000 | PA      | $61738439.84    | 0.03%             | 2028-07-17      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST LOAN SECURITIZATION TRUST 2007-1                                       | EQUIFIRST LOAN SECURITIZATION EQLS 2007 1 A1 144A          | CUSIP: 29445UAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23012338 | PA      | $21471114.26    | 0.01%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847160 FH 07/33 FLOATING VAR             | CUSIP: 3128HD5V7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1558 | PA      | $1592.48        | 0.00%             | 2033-07-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3462                                                          | FREDDIE MAC FHR 3462 SC                                    | CUSIP: 31397WCE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1247121 | PA      | $132874.90      | 0.00%             | 2038-06-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6141 FN 11/30 FIXED 2.5                        | CUSIP: 3138WFZF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3598 | PA      | $3487.23        | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.22000 01/08/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-2104437.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                                        | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A                  | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     26050000 | PA      | $26089081.77    | 0.01%             | 2034-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $1058131.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB7                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB7 A5           | CUSIP: 12479DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1808198 | PA      | $1256827.20     | 0.00%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                              | BANCA MONTE DEI PASCHI S REGS 01/26 1.875                  | CUSIP: ACI1T7K79<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     60500000 | PA      | $70924064.08    | 0.04%             | 2026-01-09      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-DUNE                                           | GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE A 144A         | CUSIP: 36258BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2766303 | PA      | $2763906.43     | 0.00%             | 2036-12-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH0395 G2 06/48 FIXED 4                       | CUSIP: 3617GWNL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       317558 | PA      | $300846.99      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 2A2           | CUSIP: 74922KAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       451418 | PA      | $306551.04      | 0.00%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-B TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 B A               | CUSIP: 83407KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234488301 | PA      | $235442555.52   | 0.12%             | 2034-06-15      | Fixed         | 4.62%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0316 FN 08/43 FIXED 4                          | CUSIP: 3138W9K66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50277 | PA      | $48770.04       | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2003-H                                               | MLCC MORTGAGE INVESTORS INC MLCC 2003 H A2                 | CUSIP: 5899296N3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59155 | PA      | $50872.55       | 0.00%             | 2029-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-1                                          | THORNBURG MORTGAGE SECURITIES TMST 2004 1 II3A             | CUSIP: 885220EX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2081790 | PA      | $2026022.77     | 0.00%             | 2044-03-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2007-FS1                            | BEAR STEARNS ASSET BACKED SECU BSABS 2007 FS1 1A4          | CUSIP: 073855AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24760114 | PA      | $23860415.69    | 0.01%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL4                                                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2022 RPL4 A1 144A        | CUSIP: 12663TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25134786 | PA      | $24259937.32    | 0.01%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4654 G2 08/47 FIXED 4.5                     | CUSIP: 36179TE35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34023 | PA      | $33717.91       | 0.00%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-2                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 2 2A4                  | CUSIP: 07386HRA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       258708 | PA      | $234962.54      | 0.00%             | 2035-04-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-26                                                               | FANNIE MAE FNR 2002 26 A1                                  | CUSIP: 31392CR30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6024 | PA      | $6280.67        | 0.00%             | 2048-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A5           | CUSIP: 761118PU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10701 | PA      | $9307.95        | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP9884 FN 07/50 FIXED 4                          | CUSIP: 3140KH6W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        71397 | PA      | $67863.74       | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR 2007-5AX                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 5AX 2A3            | CUSIP: 61751GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2724668 | PA      | $528284.70      | 0.00%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3                               | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 3 2A4             | CUSIP: 316599AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9184872 | PA      | $5973281.62     | 0.00%             | 2036-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-36184393.04   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE5 1A4          | CUSIP: 073859AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       218032 | PA      | $216794.80      | 0.00%             | 2047-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/45 0.75                                 | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    178236675 | PA      | $133042361.42   | 0.07%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251117                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $11592.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                                 | GAZPROM PJSC (GAZ FN) SR UNSECURED REGS 06/27 3            | CUSIP: ACI1NC340<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |     12000000 | PA      | $9780000.00     | 0.00%             | 2027-06-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2003-BC9                                  | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC9 M3            | CUSIP: 86358EDM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1046414 | PA      | $980558.58      | 0.00%             | 2033-08-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH4                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH4 M3B          | CUSIP: 17313JAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8380000 | PA      | $8269839.03     | 0.00%             | 2037-07-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 10/25 0.00000                                | CUSIP: 912797NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     91736000 | PA      | $91437187.41    | 0.05%             | 2025-10-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-12N                                                         | LEHMAN XS TRUST LXS 2007 12N 1A3A                          | CUSIP: 52524YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6663374 | PA      | $6553014.14     | 0.00%             | 2047-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $311300.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK6522 FN 07/48 FIXED 4.5                        | CUSIP: 3140HLG83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       391056 | PA      | $385527.43      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV6139 FN 01/29 FIXED 3.5                        | CUSIP: 3138XHZD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3507 | PA      | $3463.64        | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 3A11           | CUSIP: 007036TE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17913 | PA      | $15658.00       | 0.00%             | 2036-01-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2509 FN 03/26 FIXED 3                          | CUSIP: 31416XYF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7311 | PA      | $7273.28        | 0.00%             | 2026-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2006-19                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 1A              | CUSIP: 12667CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1133272 | PA      | $1131582.40     | 0.00%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC3909 FN 04/46 FIXED 4                          | CUSIP: 3140EYKX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59691 | PA      | $57420.68       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK2015 FN 04/48 FIXED 4                          | CUSIP: 3140HFGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4417014 | PA      | $4244207.49     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR2                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR2 M1             | CUSIP: 65535VKK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6760483 | PA      | $6052036.05     | 0.00%             | 2035-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-8                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 8 1A1             | CUSIP: 576433QQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23143 | PA      | $21549.27       | 0.00%             | 2034-09-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2004-3                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 3 M1             | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1239312 | PA      | $1234886.47     | 0.00%             | 2034-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1656 FN 04/47 FIXED 4                          | CUSIP: 3140GPZW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94693 | PA      | $91061.84       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-255331.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-406289.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE1                                                     | ACE SECURITIES CORP. ACE 2007 HE1 A2C                      | CUSIP: 00443LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1071170 | PA      | $649068.43      | 0.00%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB8164 FR 02/51 FIXED 2.5                | CUSIP: 3133AFB91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3907309 | PA      | $3323479.84     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-680121.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2005-HE1                                  | STRUCTURED ASSET INVESTMENT LO SAIL 2005 HE1 M2            | CUSIP: 86358EUW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12003777 | PA      | $11510031.64    | 0.01%             | 2035-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2789 FN 10/36 FIXED 2.5                        | CUSIP: 31418CC36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       188229 | PA      | $175315.64      | 0.00%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725266 FN 02/34 FLOATING VAR                     | CUSIP: 31402CW32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       213397 | PA      | $216240.06      | 0.00%             | 2034-02-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING LLC 2021 1A                                       | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A A 144A        | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3500000 | PA      | $3358332.60     | 0.00%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-20                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 20 3A3            | CUSIP: 863579ZL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       813964 | PA      | $759037.01      | 0.00%             | 2035-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2006-2                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2006 2 M1             | CUSIP: 61744CYQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       617259 | PA      | $588434.01      | 0.00%             | 2036-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11                    | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA11 2A1         | CUSIP: 32051GH65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2338330 | PA      | $1122894.65     | 0.00%             | 2036-01-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB1782 FN 10/51 FIXED 2                          | CUSIP: 3140QL6U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       351525 | PA      | $285049.27      | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC LAST OUT TERM LOAN                          | CUSIP: BA000D206<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    216975983 | PA      | $220773062.22   | 0.11%             | 2031-01-03      | Floating      | 8.72%                 | No            |                  3 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-JP3                    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP3 XA           | CUSIP: 46590RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109452047 | PA      | $656657.55      | 0.00%             | 2049-08-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0246 FN 03/26 FIXED VAR                        | CUSIP: 3138EGHY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          235 | PA      | $233.99         | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 1A1            | CUSIP: 68402BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48896683 | PA      | $33278300.27    | 0.02%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7919 FN 11/25 FIXED 3.5                        | CUSIP: 31419JYR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           14 | PA      | $14.26          | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $281475.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO2979 FN 05/42 FIXED 3.5                        | CUSIP: 3138LTJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       226914 | PA      | $215146.46      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 07/32 5.875                      | CUSIP: ACI2W0QH0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    300000000 | PA      | $360904347.74   | 0.18%             | 2032-07-11      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2004-RS12                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS12 MII5         | CUSIP: 76112BGG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       566043 | PA      | $515896.30      | 0.00%             | 2034-12-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4              | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     67000000 | PA      | $65392375.20    | 0.03%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-1                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2006 1 M5              | CUSIP: 9497EUAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3440000 | PA      | $3325434.58     | 0.00%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| RASC TRUST 2005-AHL1                                                             | RESIDENTIAL ASSET SECURITIES C RASC 2005 AHL1 M2           | CUSIP: 76110W4G8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6340407 | PA      | $6067529.56     | 0.00%             | 2035-09-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNR 2006-120                                                                     | FANNIE MAE FNR 2006 120 TQ                                 | CUSIP: 31396LJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       658437 | PA      | $53109.61       | 0.00%             | 2036-12-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                                     | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 5.75        | CUSIP: 553283AG7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |      5060705 | PA      | $4422969.83     | 0.00%             | 2030-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS7 A4            | CUSIP: 748940AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       101948 | PA      | $73806.72       | 0.00%             | 2036-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J0589 FH 08/37 FLOATING VAR             | CUSIP: 3128LUUN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           30 | PA      | $30.46          | 0.00%             | 2037-08-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY8C                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY8C A1          | CUSIP: 02150XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12003905 | PA      | $11150054.96    | 0.01%             | 2047-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $198689.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2025-1A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2025 1A A2 144A           | CUSIP: 505712AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33739118 | PA      | $33790738.42    | 0.02%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251124                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-44037.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4230 FR 04/54 FIXED 6.5                | CUSIP: 3133WAVX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2999701 | PA      | $3103458.50     | 0.00%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5531 FR 12/52 FIXED 6                  | CUSIP: 3133BTEC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       277698 | PA      | $286005.94      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-2R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 2R 5A17 144A        | CUSIP: 12643GDH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       428462 | PA      | $425588.67      | 0.00%             | 2037-04-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2006-2                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 M1              | CUSIP: 00437NAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1486000 | PA      | $1426703.99     | 0.00%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| BUMPER NL 2024-1 BV 24-NL1                                                       | BUMPER BUMP 2024 NL1 A REGS                                | CUSIP: ACI2QYK06<br>LEI: N/A                  | Long             | ABS-O            | CORP              | NL        |      6400000 | PA      | $7533475.47     | 0.00%             | 2036-03-21      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY7405 FN 08/53 FIXED 6.5                        | CUSIP: 3140NQGP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       491948 | PA      | $515015.05      | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3024380000 | PA      | $3125817523.74  | 1.54%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.25000 11/22/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4893798.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-32                                                        | FANNIE MAE FNR 2007 32 SC                                  | CUSIP: 31396VDZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       438064 | PA      | $50382.62       | 0.00%             | 2037-04-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2594 FN 08/47 FIXED 3.5                        | CUSIP: 3140GQ3C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       295397 | PA      | $276065.89      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                             | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 M2             | CUSIP: 86358EPD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1948058 | PA      | $2112351.52     | 0.00%             | 2034-11-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2025-A                                              | WORLD OMNI SELECT AUTO TRUST WOSAT 2025 A A2A              | CUSIP: 98164UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53300000 | PA      | $53326239.59    | 0.03%             | 2030-05-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2021-STAR                                      | GS MORTGAGE SECURITIES TRUST GSMS 2021 STAR A 144A         | CUSIP: 36264LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17000000 | PA      | $16922316.80    | 0.01%             | 2036-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0582 FN 09/53 FIXED 6.5                        | CUSIP: 3140A0UG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       639752 | PA      | $665093.93      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR6                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR6 A3A           | CUSIP: 39538BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7848059 | PA      | $7588374.37     | 0.00%             | 2046-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-F                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 F 1A1             | CUSIP: 05950HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       586902 | PA      | $592018.94      | 0.00%             | 2036-07-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 2A1           | CUSIP: 12667GN33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1469364 | PA      | $1276425.31     | 0.00%             | 2035-08-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BF1602 G2 05/48 FIXED 4                       | CUSIP: 3617G7X75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       462792 | PA      | $438445.43      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 6A2 144A         | CUSIP: 74930PAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $888596.50      | 0.00%             | 2036-06-27      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX8779 FN 02/30 FIXED 3                          | CUSIP: 3138YAXH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74274 | PA      | $72952.03       | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TRUST 2004-8                                              | MASTR ALTERNATIVE LOANS TRUST MALT 2004 8 3A1              | CUSIP: 576434UR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1339252 | PA      | $1330565.63     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-31                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 31 1A1           | CUSIP: 12667GYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3061673 | PA      | $2944433.05     | 0.00%             | 2035-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A3            | CUSIP: 61752JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13082708 | PA      | $2724971.17     | 0.00%             | 2046-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6255 FN 12/45 FIXED 4                          | CUSIP: 3140EA5R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       776367 | PA      | $747731.99      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WEST STREET GLOBAL GROWTH PARTNERS LP                                            | PROJECT HUDSON II FIXED TERM LOAN                          | CUSIP: BA0004RR0<br>LEI: 549300VKOBL0QVVJAP44 | Long             | ABS-MBS          | CORP              | US        |     75800000 | PA      | $76757256.98    | 0.04%             | 2026-05-29      | Fixed         | 7.73%                 | No            |                  3 | On Loan: No      |
| GOVERNEMENT NATIONAL MTG ASSOC 2007-21                                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 21 PZ              | CUSIP: 38375JVW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137363 | PA      | $138821.92      | 0.00%             | 2037-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2004-BC4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 BC4 M1             | CUSIP: 126673KY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18386 | PA      | $24540.45       | 0.00%             | 2034-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-7285.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1327 FN 08/49 FIXED 3                          | CUSIP: 3140JVPM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1651787 | PA      | $1455397.33     | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV INC 2004-WMC5                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 WMC5 M1           | CUSIP: 59020UMF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5723846 | PA      | $5731734.96     | 0.00%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 47 LTD                                        | NEUBERGER BERMAN CLO LTD NEUB 2022 47A A 144A              | CUSIP: 64135DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     18800000 | PA      | $18800000.00    | 0.01%             | 2035-04-14      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A A 144A                                 | CUSIP: ACI12K1K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     91642640 | PA      | $122980343.47   | 0.06%             | 2045-02-22      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| TROPIC CDO CORP 2006-5A                                                          | TROPIC CDO CORP TROPC 2006 5A A1L2 144A                    | CUSIP: 89708BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     28682876 | PA      | $27607268.13    | 0.01%             | 2036-07-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2952 FN 12/28 FIXED 3                          | CUSIP: 3140FAH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       129056 | PA      | $127730.71      | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR5                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR5 2A1           | CUSIP: 22541NB32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       369836 | PA      | $337372.65      | 0.00%             | 2033-01-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0760 FN 10/47 FIXED 4                          | CUSIP: 3140H1Z29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58339 | PA      | $56104.68       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6444 FR 01/53 FIXED 5                  | CUSIP: 3133BUER4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       481731 | PA      | $481862.58      | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4168 FN 06/48 FIXED 3.5                        | CUSIP: 3140H5T27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       235352 | PA      | $220046.97      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LUCA RE LTD                                                                      | LUCA RE LTD UNSECURED 144A 07/31 VAR                       | CUSIP: 54930CAA3<br>LEI: 2549001YET1TWKCC6Y26 | Long             | DBT              | CORP              | BM        |     20700000 | PA      | $20704140.00    | 0.01%             | 2031-07-22      | Floating      | 11.18%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG9119 FR 08/53 FIXED 6.5                | CUSIP: 3133CADY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       652781 | PA      | $681218.67      | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A B 144A        | CUSIP: ACI309NN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     20700000 | PA      | $24302848.72    | 0.01%             | 2035-07-15      | Floating      | 3.83%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251215                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-61132.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 1A                          | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3021 | PA      | $2936.65        | 0.00%             | 2027-10-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/20/23-6Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-6234784.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 35A1                 | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5556992 | PA      | $2643695.41     | 0.00%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2452 FR 02/53 FIXED 6.5                | CUSIP: 3132DPWM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68996 | PA      | $71981.01       | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.0 09/15/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-14848337.15   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-5                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 5 A1A            | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14825794 | PA      | $12887372.04    | 0.01%             | 2037-09-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1006733.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7601 FN 07/46 FIXED 4                          | CUSIP: 3138WHNT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47925 | PA      | $46103.27       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A2            | CUSIP: 146919AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6361822 | PA      | $6362810.90     | 0.00%             | 2027-11-10      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A2 144A       | CUSIP: 14687VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3733669 | PA      | $3737012.30     | 0.00%             | 2027-08-10      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5213 FN 04/44 FIXED VAR                        | CUSIP: 3138EMYK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35618 | PA      | $35371.53       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.17500 10/10/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3803342.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-6990.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A E 144A                       | CUSIP: ACI2NGD06<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     16808000 | PA      | $19523235.00    | 0.01%             | 2058-06-28      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP BRC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1252632.25    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R9                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R9 M4             | CUSIP: 03072SUR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1770552 | PA      | $1685505.46     | 0.00%             | 2034-10-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A     | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75043355 | PA      | $68231737.51    | 0.03%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $119.76         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-378721.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A3            | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54692460 | PA      | $21857409.74    | 0.01%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $3041225.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC6                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC6 M4               | CUSIP: 61744CSY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2473002 | PA      | $2425406.99     | 0.00%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889466 FN 05/38 FIXED VAR                        | CUSIP: 31410KFF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       747154 | PA      | $787768.36      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                                   | EUROHOME UK MORTGAGES PLC EHMU 2007 1 M1 REGS              | CUSIP: 994BENII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      5200000 | PA      | $6912221.42     | 0.00%             | 2044-06-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A B 144A          | CUSIP: 21050QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24254000 | PA      | $24703251.99    | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP7537 FN 09/27 FIXED 3                          | CUSIP: 3138MBLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1917 | PA      | $1897.36        | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1           | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9107345 | PA      | $6417538.27     | 0.00%             | 2046-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08653 FG 07/45 FIXED 3                  | CUSIP: 3128MJWP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17462 | PA      | $15891.51       | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A2            | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5426886 | PA      | $2167134.82     | 0.00%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6673 FN 02/46 FIXED 4                          | CUSIP: 3138WGMX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       208098 | PA      | $200228.24      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LN TRUST 2004-AR5                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR5 2A1B          | CUSIP: 45660NS48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46008 | PA      | $42307.57       | 0.00%             | 2034-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A B 144A                       | CUSIP: ACI2NGCZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     39593000 | PA      | $46543041.52    | 0.02%             | 2058-06-28      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| DREAMWELL LTD                                                                    | DREAMWELL LTD COMMON                                       | CUSIP: 954CQEII4<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         1460 | NS      | $14235.00       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| PRPM 2024-7 LLC                                                                  | PRP ADVISORS, LLC PRPM 2024 7 A1 144A                      | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26659730 | PA      | $26688311.50    | 0.01%             | 2029-11-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84296 FG 05/48 FIXED 3.5                | CUSIP: 3132L9XZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3813 | PA      | $3536.58        | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VB DPR FINANCE COMPANY                                                           | VB DPR FINANCE COMPANY VAKIFBANK DPR 2025 E 4A2 SR SE      | CUSIP: 959DHQII0<br>LEI: 549300Y3LKKHCL3AQW08 | Long             | DBT              | CORP              | US        |     52500000 | PA      | $54159612.15    | 0.03%             | 2035-03-15      | Fixed         | 6.83%                 | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK9107 FR 12/32 FIXED 3                  | CUSIP: 3131XDDL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       198129 | PA      | $192808.07      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A93534 FG 08/40 FIXED 4                  | CUSIP: 3129414T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12223 | PA      | $11923.77       | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.06000 07/02/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3701940.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION 2007-EQ1                                 | STRUCTURED ASSET SECURITIES CO SASC 2007 EQ1 A5            | CUSIP: 86363HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5162188 | PA      | $1910091.98     | 0.00%             | 2037-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP1                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP1 1AF 144A          | CUSIP: 36242DXG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12848988 | PA      | $11284639.35    | 0.01%             | 2035-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKIN MORTGAGE LOAN TRUST 2006-FF6                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF6 M1             | CUSIP: 31561EAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9022955 | PA      | $8598241.17     | 0.00%             | 2036-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1246 FR 04/53 FIXED 6                  | CUSIP: 3133C1L32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11731911 | PA      | $12046742.80    | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $391113.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q42781 FG 09/46 FIXED 3                  | CUSIP: 3132WGCT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1246916 | PA      | $1128985.36     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A                              | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A          | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11181118 | PA      | $11256364.72    | 0.01%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 1A1            | CUSIP: 225470RS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       352985 | PA      | $76628.77       | 0.00%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-2A                                                         | FIRST HELP FINANCIAL LLC FHF 2024 2A A2 144A               | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12266880 | PA      | $12385314.01    | 0.01%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2A LTD                                                             | VOYA CLO LTD VOYA 2019 2A AR 144A                          | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2207481 | PA      | $2209086.53     | 0.00%             | 2032-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP3 PT 144A       | CUSIP: 173112AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924185155 | PA      | $758854529.99   | 0.37%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTGE SEC BCM 2001 A                                           | BOMBARDIER CAPITAL MORTGAGE SE BCM 2001 A M1               | CUSIP: 09774XBV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1705257 | PA      | $1745779.95     | 0.00%             | 2030-12-15      | Variable      | 7.93%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2015-3                                                 | TOWD POINT MORTGAGE TRUST TPMT 2015 3 B2 144A              | CUSIP: 89172HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24000000 | PA      | $23543380.80    | 0.01%             | 2054-03-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 C 144A         | CUSIP: 69544AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7072085 | PA      | $7119012.31     | 0.00%             | 2032-07-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3087 FN 08/47 FIXED 3.5                        | CUSIP: 31418CND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1614808 | PA      | $1500805.35     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2747 FN 09/46 FIXED 3.5                        | CUSIP: 31418CBR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58429 | PA      | $54653.59       | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                                                 | FREDDIE MAC FHR 3355 BI                                    | CUSIP: 31397KCA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       468720 | PA      | $44484.79       | 0.00%             | 2037-08-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251021                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1684846.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q44066 FG 11/46 FIXED 3                  | CUSIP: 3132WHQU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7821295 | PA      | $7081641.87     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 06/21/23-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $35431363.70    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2005-OPT1                                           | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 OPT1 M6          | CUSIP: 46626LAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11812073 | PA      | $9937914.25     | 0.00%             | 2035-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP4 SA 144A       | CUSIP: 17332EAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       355550 | PA      | $350483.45      | 0.00%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 944617 FN 07/37 FIXED 6                          | CUSIP: 31413F4A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       362143 | PA      | $380669.37      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $3443412.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK8736 FN 01/49 FIXED 4.5                        | CUSIP: 3140HNV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16054 | PA      | $15826.76       | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-8                                                   | HOME EQUITY ASSET TRUST HEAT 2004 8 M4                     | CUSIP: 437084GU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       770660 | PA      | $755910.01      | 0.00%             | 2035-03-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                            | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A4            | CUSIP: 57645MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30164851 | PA      | $9868319.34     | 0.00%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A1                   | CUSIP: 362341SB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1090159 | PA      | $996502.09      | 0.00%             | 2035-09-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                                  | IHEARTMEDIA INC   CLASS A COMMON STOCK                     | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9028024 | NS      | $25910428.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-33813.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-1                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 9M1             | CUSIP: 007036AP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2269215 | PA      | $2001441.10     | 0.00%             | 2035-01-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| ABFC 2004-AHL1 TRUST                                                             | ASSET BACKED FUNDING CERTIFICA ABFC 2004 AHL1 M1           | CUSIP: 04542BGG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       608121 | PA      | $593266.68      | 0.00%             | 2033-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 41 1A1           | CUSIP: 12667GR62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       596280 | PA      | $434280.20      | 0.00%             | 2035-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A       | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       200000 | PA      | $192231.62      | 0.00%             | 2038-09-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR2648 FN 02/51 FIXED 2.5                        | CUSIP: 3140L05J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4620686 | PA      | $3925039.48     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2022-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2022 4 A1 144A              | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90890432 | PA      | $87415363.18    | 0.04%             | 2062-09-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260626                                 | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 286888976000 | PA      | $168933018.87   | 0.08%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-6F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 6F 2A4                    | CUSIP: 36298BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1521239 | PA      | $839577.85      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8054 FR 07/35 FIXED 3                  | CUSIP: 3132D55P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156348 | PA      | $150634.82      | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9354 FN 01/27 FIXED 3                          | CUSIP: 3138E2MC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56310 | PA      | $55838.59       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA7                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA7 2A1          | CUSIP: 32051GFB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       292441 | PA      | $280114.69      | 0.00%             | 2035-02-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                      | CUSIP: 05494AAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41360000 | PA      | $34305286.88    | 0.02%             | 2056-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR1                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR1 5A           | CUSIP: 76112BKQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1796 | PA      | $1644.53        | 0.00%             | 2035-03-18      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 2.45       | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      4200000 | PA      | $3857015.40     | 0.00%             | 2028-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-4                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 D 2A2            | CUSIP: 05949ADG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        63828 | PA      | $62134.96       | 0.00%             | 2034-05-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-60                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 60 1A1                    | CUSIP: 12669FJC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1453 | PA      | $1457.40        | 0.00%             | 2034-02-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 PT 144A        | CUSIP: 12653HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31741488 | PA      | $24241570.88    | 0.01%             | 2057-07-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                                     | ACE SECURITIES CORP. ACE 2007 WM1 A2A                      | CUSIP: 004424AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7440586 | PA      | $3062422.35     | 0.00%             | 2036-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MXN 8.41000 11/14/24-1Y* (WHT) CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $600128.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A E 144A                          | CUSIP: ACI2M19Z8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     37025000 | PA      | $50584550.40    | 0.02%             | 2035-06-21      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C            | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       208893 | PA      | $48828.64       | 0.00%             | 2037-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-10                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 10 4A2 144A       | CUSIP: 17316AAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2057010 | PA      | $1707695.89     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRALEE CLO VI LTD 2019 6A                                                        | TRALEE CDO LTD TRAL 2019 6A A1RR 144A                      | CUSIP: 89289EBL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12406387 | PA      | $12428858.88    | 0.01%             | 2032-10-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ4555 FN 12/42 FIXED 4                          | CUSIP: 3138MLBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37756 | PA      | $36714.46       | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-749863.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 1A             | CUSIP: 54251TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24661959 | PA      | $12863640.86    | 0.01%             | 2036-08-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/21/23-3Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1028932.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MXN 9.32750 11/21/24-1Y* (WHT) CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $-570639.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                                    | GSAA HOME EQUITY TRUST GSAA 2006 5 2A1                     | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18821 | PA      | $6020.21        | 0.00%             | 2036-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SA RL                                                         | TITANIUM 2L BONDCO S.? R.L. EO 01/31 6.25                  | CUSIP: ACI2R0R44<br>LEI: 636700S4QMU2DWYOSF67 | Long             | DBT              | CORP              | LU        |      2955300 | PA      | $911776.42      | 0.00%             | 2031-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52184 FG 11/47 FIXED 3.5                | CUSIP: 3132XUNA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       515408 | PA      | $479101.38      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60989 FG 12/46 FIXED 3                  | CUSIP: 31335BC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7288 | PA      | $6600.40        | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4442 FN 08/46 FIXED 3.5                        | CUSIP: 3140FB5C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       314730 | PA      | $292542.68      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H16                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H16 FL             | CUSIP: 38376RWM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2965338 | PA      | $2973537.90     | 0.00%             | 2066-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL6                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL6 A2 144A        | CUSIP: 12654UAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1464287826 | PA      | $1352469975.57  | 0.67%             | 2058-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO III LTD                                                               | CARVAL CLO LTD CARVL 2019 2A AR2 144A                      | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     68931921 | PA      | $68997634.57    | 0.03%             | 2032-07-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73500 08/07/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $796192.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0967 FN 06/44 FIXED 4.5                        | CUSIP: 3138XCCD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       162710 | PA      | $161584.04      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8636 FR 01/32 FIXED 2.5                | CUSIP: 3132A9SZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       168091 | PA      | $162059.67      | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARE 144A       | CUSIP: 033296AS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       918752 | PA      | $909375.07      | 0.00%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9652 FN 07/47 FIXED 3.5                        | CUSIP: 3140FVWN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1215234 | PA      | $1132659.88     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC9096 FN 12/46 FIXED 3.5                        | CUSIP: 3140F5DA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37170 | PA      | $34861.63       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIX LTD 2018-1A                                                  | SOUND POINT CLO LTD SNDPT 2018 1A A 144A                   | CUSIP: 83610JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4316123 | PA      | $4319717.89     | 0.00%             | 2031-04-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-AC9                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AC9 A1           | CUSIP: 0738794E5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2584908 | PA      | $1214352.20     | 0.00%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q61517 FG 02/49 FIXED 3.5                | CUSIP: 3132VMVK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       236582 | PA      | $218982.91      | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC4 TRUST                                                            | PRKCM TRUST PRKCM 2023 AFC4 A1 144A                        | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15241095 | PA      | $15502589.50    | 0.01%             | 2058-11-25      | Fixed         | 7.22%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A1 144A      | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4080121 | PA      | $2720897.75     | 0.00%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M4            | CUSIP: 17307GWU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6350000 | PA      | $6186469.72     | 0.00%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-8                                                    | GSAA HOME EQUITY TRUST GSAA 2006 8 2A2                     | CUSIP: 362348AS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21034625 | PA      | $4389665.45     | 0.00%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-823631.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $21277.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A7CB                                            | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A7CB 1A5          | CUSIP: 76113NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4023189 | PA      | $2573404.49     | 0.00%             | 2036-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 03/26 4.5                                  | CUSIP: 91282CKH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2204000000 | PA      | $2211167584.32  | 1.09%             | 2026-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA Z 144A                       | CUSIP: ACI2QV5K5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     35031000 | PA      | $38534665.36    | 0.02%             | 2055-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH9561 FN 08/26 FIXED 3.5                        | CUSIP: 3138ABTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14203 | PA      | $14127.48       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2003-K                                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 K 1A1            | CUSIP: 05948XZB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91481 | PA      | $91113.52       | 0.00%             | 2033-12-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF9106 FR 02/53 FIXED 5.5                | CUSIP: 3133BXDK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       853061 | PA      | $862444.79      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 D A1A 144A         | CUSIP: 78454XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99064511 | PA      | $101218629.47   | 0.05%             | 2058-10-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2D               | CUSIP: 61753NAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6790433 | PA      | $2999851.72     | 0.00%             | 2037-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR6                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR6 2A1           | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3684566 | PA      | $3032756.07     | 0.00%             | 2035-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                                   | FREMONT HOME LOAN TRUST FHLT 2006 B 2A3                    | CUSIP: 35729QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30357230 | PA      | $9478881.01     | 0.00%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2019-RPL7                                                            | CSMCM TRUST CERTIFICATES CSMCM 2019 RPL7 CERT 144A         | CUSIP: 12658TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26570901 | PA      | $21734061.33    | 0.01%             | 2059-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA14                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA14 3A1         | CUSIP: 02146SAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       551318 | PA      | $503433.51      | 0.00%             | 2046-11-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC1 A2D           | CUSIP: 172983AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3130102 | PA      | $3120567.52     | 0.00%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0703 FN 12/43 FIXED 4                          | CUSIP: 3138XBX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25967 | PA      | $25236.94       | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 02/30 VAR                   | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     19800000 | PA      | $20460788.17    | 0.01%             | 2030-02-08      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9431 FN 03/53 FIXED 5.5                        | CUSIP: 3140NEPR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33059 | PA      | $33546.08       | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                                          | MADISON PARK FUNDING LTD MDPK 2017 23A AR 144A             | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1866101 | PA      | $1867154.56     | 0.00%             | 2031-07-27      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-122                                                              | FANNIE MAE FNR 2005 122 SG                                 | CUSIP: 31394VED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33540 | PA      | $310.89         | 0.00%             | 2035-11-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1                 | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2798392 | PA      | $2184560.62     | 0.00%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3267 FN 11/47 FIXED 3.5                        | CUSIP: 3140H4TZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       981082 | PA      | $910191.98      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5475 FN 07/45 FIXED 4                          | CUSIP: 3138WFCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       689637 | PA      | $664130.36      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A           | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23281046 | PA      | $21319088.94    | 0.01%             | 2046-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A6A1          | CUSIP: 251513BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       516891 | PA      | $451798.33      | 0.00%             | 2036-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1                                  | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2024 1 A3             | CUSIP: 023947AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68100000 | PA      | $68823317.34    | 0.03%             | 2029-01-18      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2005-1                                           | MASTR SEASONED SECURITIZATION MSSTR 2005 1 4A1             | CUSIP: 55265WCK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31195 | PA      | $30277.33       | 0.00%             | 2032-10-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                         | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A1          | CUSIP: 46628TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19453140 | PA      | $17520705.72    | 0.01%             | 2036-07-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 3A1B                 | CUSIP: 1266944F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9415353 | PA      | $8781262.82     | 0.00%             | 2036-05-20      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| LANDMARK MORTGAGE SEC PLC 2                                                      | LANDMARK MORTGAGE SECURITIES P LMS 2 AA REGS               | CUSIP: 994ABCII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2838087 | PA      | $3766514.42     | 0.00%             | 2039-06-17      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MID-STATE TRUST-11                                                               | MID STATE TRUST MDST 11 A1                                 | CUSIP: 59549WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       114014 | PA      | $113897.87      | 0.00%             | 2038-07-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8999 FN 10/47 FIXED 4                          | CUSIP: 3140GX7M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       160826 | PA      | $154558.68      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 09/31 5.125                      | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    159600000 | PA      | $187170495.64   | 0.09%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4546 FN 11/49 FIXED 3                          | CUSIP: 3140QCBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43766854 | PA      | $39132150.29    | 0.02%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2725 FR 11/25 FIXED 3.5                | CUSIP: 3131X6A26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1859 | PA      | $1853.16        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1B         | CUSIP: 45660LMH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1404082 | PA      | $1129306.48     | 0.00%             | 2035-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM PARENT INC                                                            | NEW UNITY COMMON STOCKK                                    | CUSIP: 958WDX907<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6136182 | NS      | $34492301.27    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9262 FN 01/40 FIXED 4                          | CUSIP: 3138YBJG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96720 | PA      | $92779.54       | 0.00%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT3 M1           | CUSIP: 83611MPK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1208948 | PA      | $1093995.59     | 0.00%             | 2036-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-17                                                        | FANNIE MAE FNR 2011 17 KS                                  | CUSIP: 31397QZU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1650136 | PA      | $167001.82      | 0.00%             | 2041-03-25      | Floating      | 1.38%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME LOAN TRUST 2005-1                                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 1 M5              | CUSIP: 83611MCR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       463831 | PA      | $452938.64      | 0.00%             | 2035-04-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 8F 4A17                   | CUSIP: 362611BR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1284267 | PA      | $515038.28      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 13 1A12                   | CUSIP: 12543TAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       520936 | PA      | $227193.09      | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A1A          | CUSIP: 41161PKD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       698203 | PA      | $675503.09      | 0.00%             | 2035-01-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $538935.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTG BKD SEC 2007-15                                                  | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 15 A1            | CUSIP: 949797AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       478231 | PA      | $467864.52      | 0.00%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-4A LLC                                                                 | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2025 4A A2 144A         | CUSIP: 76089MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29600000 | PA      | $29750604.80    | 0.01%             | 2034-04-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 7A11            | CUSIP: 007036QR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1938146 | PA      | $1852733.78     | 0.00%             | 2035-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 4 13A1                 | CUSIP: 073871AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7918297 | PA      | $7041716.30     | 0.00%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $81198.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1640 FR 01/49 FIXED 4.5                | CUSIP: 3132ADZD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144161 | PA      | $142241.74      | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS AG / STAMFORD BRANCH                                                         | UBS AG STAMFORD CT SR UNSECURED 02/28 7.5                  | CUSIP: 22550L2M2<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    242450000 | PA      | $261082988.03   | 0.13%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                              | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2               | CUSIP: 126673VQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7490690 | PA      | $7349800.48     | 0.00%             | 2035-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M4             | CUSIP: 64352VKD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2852769 | PA      | $2858825.87     | 0.00%             | 2035-03-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $21857.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TR 2004-HE4                                             | IXIS REAL ESTATE CAPITAL TRUST IXIS 2004 HE4 M1            | CUSIP: 45071KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       267502 | PA      | $273356.95      | 0.00%             | 2035-02-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 1A2           | CUSIP: 02151AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5112198 | PA      | $2405949.86     | 0.00%             | 2037-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL3 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RPL3 A1 144A                   | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25586438 | PA      | $25038765.00    | 0.01%             | 2054-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW0096 FN 06/29 FIXED 3                          | CUSIP: 3138XPDA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7879 | PA      | $7737.14        | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-885919.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 2A A2B 144A      | CUSIP: 96042YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11206093 | PA      | $11211951.46    | 0.01%             | 2027-08-16      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-J1                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 J1 1A3                    | CUSIP: 126694XR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       413143 | PA      | $178550.31      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC7844 FN 01/55 FIXED 7                          | CUSIP: 3140AVWE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18320789 | PA      | $19218741.01    | 0.01%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 2 11A1                 | CUSIP: 07386HH46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2667028 | PA      | $2403583.67     | 0.00%             | 2036-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-6                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 6 2A1                     | CUSIP: 12669GTE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10477 | PA      | $9200.26        | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2006-2                                          | MASTR ASSET SECURITIZATION TRU MASTR 2006 2 1A4            | CUSIP: 55274QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123588 | PA      | $66875.37       | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08658 FG 08/45 FIXED 3                  | CUSIP: 3128MJWU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       161922 | PA      | $147245.05      | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2018-1                                              | RIO OIL FINANCE TRUST SR SECURED 144A 04/28 8.2            | CUSIP: 76716XAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13660750 | PA      | $14135597.67    | 0.01%             | 2028-04-06      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2022-1A                                                                | FIRST HELP FINANCIAL LLC FHF 2022 1A A 144A                | CUSIP: 30327CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2147177 | PA      | $2146907.03     | 0.00%             | 2028-01-18      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA D 144A         | CUSIP: 21050UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10556000 | PA      | $10720967.06    | 0.01%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6994 FN 04/46 FIXED 4                          | CUSIP: 3138WGXY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       756006 | PA      | $727494.96      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A5 2A1                 | CUSIP: 46629CAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       333837 | PA      | $273305.97      | 0.00%             | 2036-08-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A            | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34801351 | PA      | $35569228.85    | 0.02%             | 2041-02-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL4                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL4 SA 144A      | CUSIP: 36272VAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       819143 | PA      | $781940.85      | 0.00%             | 2065-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2002-C                                               | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M1              | CUSIP: 03072SDF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1054399 | PA      | $1110185.50     | 0.00%             | 2032-11-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-9                                                    | GSAA HOME EQUITY TRUST GSAA 2007 9 A2A                     | CUSIP: 3622EEAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4905979 | PA      | $2721740.27     | 0.00%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1N0365 FH 02/37 FLOATING VAR             | CUSIP: 3128QGMN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          158 | PA      | $157.18         | 0.00%             | 2037-02-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ2589 FR 09/54 FIXED 7                  | CUSIP: 3133CS2W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999900 | PA      | $1048884.38     | 0.00%             | 2054-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-4387924.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-3584171.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2006-BC3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC3 M2             | CUSIP: 23242HAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9200000 | PA      | $8852401.00     | 0.00%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 789865 FH 10/32 FLOATING VAR             | CUSIP: 31295N6A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5524 | PA      | $5633.69        | 0.00%             | 2032-10-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| BMW CANADA AUTO TRUST 2024-1A                                                    | BMW CANADA AUTO TRUST BMWC 2024 1A A2 144A                 | CUSIP: 05570XCL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     12188912 | PA      | $8829144.26     | 0.00%             | 2027-07-20      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-4R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 4R 2A2 144A         | CUSIP: 12645KBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7263604 | PA      | $6453746.58     | 0.00%             | 2037-08-27      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251009                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $302958.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR3                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR3 1A1A          | CUSIP: 17306SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1432886 | PA      | $1356908.06     | 0.00%             | 2036-06-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q57474 FG 07/48 FIXED 3.5                | CUSIP: 3132Y1JU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       512724 | PA      | $475029.26      | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1322 FN 05/49 FIXED VAR                        | CUSIP: 3140X4PG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26365 | PA      | $26024.82       | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A B                              | CUSIP: ACI2P7XP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     42391000 | PA      | $57697152.66    | 0.03%             | 2062-11-16      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 1A A 144A        | CUSIP: ACI2TS750<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    134400000 | PA      | $157718088.83   | 0.08%             | 2034-10-15      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| KENNEDY WILSON EUROPE REAL ESTATE LIMITED                                        | KENNEDY WILSON EUR REAL SR UNSECURED REGS 11/25 3.25       | CUSIP: ACI0HXJ38<br>LEI: 213800WIL553Z1T6DZ52 | Long             | DBT              | CORP              | JE        |      1768421 | PA      | $2071705.40     | 0.00%             | 2025-11-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG41 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $504319.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL STATE OF ISRAEL                            | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    100100000 | PA      | $102961303.45   | 0.05%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 2A1           | CUSIP: 021482AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       803887 | PA      | $350571.46      | 0.00%             | 2037-08-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-3350210.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A       | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1216650 | PA      | $1176580.30     | 0.00%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 752884 FN 11/33 FIXED 6.5                        | CUSIP: 31403MM97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          253 | PA      | $261.43         | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A2                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A2 1A6            | CUSIP: 761120AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       532920 | PA      | $265840.89      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 09/29 VAR                   | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     92400000 | PA      | $97504625.99    | 0.05%             | 2029-09-22      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 B2 144A        | CUSIP: 12660QAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12615050 | PA      | $9903320.11     | 0.00%             | 2061-02-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-3                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2005 3 M9 144A         | CUSIP: 9497ENAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12883000 | PA      | $12583023.21    | 0.01%             | 2035-11-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0924 FR 09/52 FIXED 5.5                | CUSIP: 3133BNAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1342350 | PA      | $1359040.06     | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4756 FR 02/48 FIXED 4                  | CUSIP: 3132A5H99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       435476 | PA      | $418709.31      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH4568 FN 03/41 FIXED 4                          | CUSIP: 3138A6CE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54364 | PA      | $52154.23       | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7683 FN 01/47 FIXED 4                          | CUSIP: 3140FFRD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14266 | PA      | $13721.00       | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                                                    | ARGENT SECURITIES INC. ARSI 2006 W4 A2D                    | CUSIP: 040104TH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15142271 | PA      | $3631552.76     | 0.00%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/43 4.375                                | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    494700000 | PA      | $477588406.15   | 0.24%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-2                                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 2A B3 144A         | CUSIP: 64830DBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14633405 | PA      | $14276727.01    | 0.01%             | 2057-12-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED 02/34 6.5                 | CUSIP: 005048II6<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |      3000000 | PA      | $2859017.83     | 0.00%             | 2034-02-09      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4847 FN 11/52 FIXED 6                          | CUSIP: 31418EL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32273 | PA      | $33160.99       | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-8                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 8 2A2            | CUSIP: 54251UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9752229 | PA      | $2503316.34     | 0.00%             | 2036-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-309233.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0831 FN 02/48 FIXED 4                          | CUSIP: 3140HD4R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6295139 | PA      | $6052777.24     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7387 FN 06/46 FIXED 3.5                        | CUSIP: 3138WHF56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8108 | PA      | $7585.42        | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2025-1                                               | CAPITAL STREET MASTER TRUST CAPST 2025 1 A 144A            | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51000000 | PA      | $51051530.40    | 0.03%             | 2029-08-16      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2716 FN 08/36 FIXED 2.5                        | CUSIP: 31418CAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55910 | PA      | $52068.27       | 0.00%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR               | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    246545990 | PA      | $167034907.95   | 0.08%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2022 RPL2 PT 144A      | CUSIP: 36267WAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530558288 | PA      | $457469692.48   | 0.23%             | 2067-12-27      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006 GP4                                                         | LEHMAN XS TRUST LXS 2006 GP4 1A1                           | CUSIP: 525161AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4231041 | PA      | $3828191.04     | 0.00%             | 2046-08-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5931 FN 01/53 FIXED 6                          | CUSIP: 3140NASV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1426982 | PA      | $1464749.47     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY1895 FR 04/55 FIXED 6.5                | CUSIP: 31426LC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999900 | PA      | $1034184.04     | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A A1 144A              | CUSIP: 193938AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35688508 | PA      | $36161309.56    | 0.02%             | 2055-05-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0126 FN 06/30 FIXED VAR                        | CUSIP: 3140XFD81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31386709 | PA      | $30931504.18    | 0.02%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2003-1                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2003 1 A1              | CUSIP: 05946XBV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12842 | PA      | $12812.29       | 0.00%             | 2033-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-AR25                    | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR25 1A2          | CUSIP: 22541NEF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       121988 | PA      | $111171.80      | 0.00%             | 2032-09-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 081224 G2 01/35 FLOATING VAR                  | CUSIP: 36225DLE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          480 | PA      | $488.94         | 0.00%             | 2035-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR15                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR15 A1           | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4724911 | PA      | $4654997.76     | 0.00%             | 2036-07-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR HOLDCO SLU                                                        | PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1           | CUSIP: 944ZSGII9<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |     70080537 | PA      | $80149356.13    | 0.04%             | 2026-04-17      | Floating      | 5.13%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8556 FN 04/53 FIXED 5.5                        | CUSIP: 3140NDQJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30322 | PA      | $30704.86       | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5935 FN 10/45 FIXED 4                          | CUSIP: 3138WFSZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2422681 | PA      | $2331562.89     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 2A2           | CUSIP: 542512AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13477709 | PA      | $4619681.40     | 0.00%             | 2036-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD1382 FR 08/52 FIXED 4                  | CUSIP: 3132DNRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       620021 | PA      | $586427.23      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                             | GSAMP TRUST GSAMP 2006 NC2 A2C                             | CUSIP: 362463AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21451263 | PA      | $11864629.15    | 0.01%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847167 FH 07/33 FLOATING VAR             | CUSIP: 3128HD6C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          626 | PA      | $635.30         | 0.00%             | 2033-07-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                             | COLLEGE AVE STUDENT LOANS CASL 2023 B D 144A               | CUSIP: 19425MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3699498 | PA      | $3898110.52     | 0.00%             | 2054-06-25      | Fixed         | 8.21%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M MORTGAGE TRUST                                                     | MKT 2020 525M MORTGAGE TRUST MKT 2020 525M A 144A          | CUSIP: 55316PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16065000 | PA      | $14283871.84    | 0.01%             | 2040-02-12      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2002-4                                                   | HOME EQUITY ASSET TRUST HEAT 2002 4 M2                     | CUSIP: 22541NQN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3043805 | PA      | $2901513.82     | 0.00%             | 2033-03-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-D                                                | CPS AUTO TRUST CPS 2024 D A 144A                           | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12198877 | PA      | $12218045.98    | 0.01%             | 2028-06-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| PROJECT ANDRETTI PLACEHOLDER                                                     | PROJECT ANDRETTI PLACEHOLDER                               | CUSIP: 990AAKEJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    507172442 | PA      | $595446141.39   | 0.29%             | 2053-01-07      | Floating      | 3.10%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $570968.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATCLO-2021-17A                                                                   | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 17A AR 144A          | CUSIP: 04942FAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1000936.10     | 0.00%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN 2019-1A                                            | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 1A B1 144A         | CUSIP: 64830CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15434204 | PA      | $14675256.49    | 0.01%             | 2057-09-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1257 FN 04/37 FIXED VAR                        | CUSIP: 3140J5MF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41452 | PA      | $38605.47       | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO8913 FN 01/50 FIXED 3.5                        | CUSIP: 3140K43X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       907447 | PA      | $840413.69      | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 A2 144A        | CUSIP: 12594YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600322546 | PA      | $551180743.05   | 0.27%             | 2056-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-4                                                | VERUS SECURITIZATION TRUST VERUS 2023 4 A1 144A            | CUSIP: 92539TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20410837 | PA      | $20485520.39    | 0.01%             | 2068-05-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 2A3             | CUSIP: 86361JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2024302 | PA      | $1236223.31     | 0.00%             | 2036-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A3         | CUSIP: 02146XAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2384438 | PA      | $1014342.91     | 0.00%             | 2036-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A4              | CUSIP: 12669VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000000 | PA      | $8738214.00     | 0.00%             | 2047-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6450 FR 07/53 FIXED 5.5                | CUSIP: 3133C7EX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44661 | PA      | $45213.26       | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS0928 FR 09/35 FIXED 6                  | CUSIP: 3132A1A53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13374 | PA      | $14047.45       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $2930.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995750 FN 05/29 FIXED VAR                        | CUSIP: 31416CEX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20655 | PA      | $20651.41       | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2007-1                                                          | MORTGAGEIT TRUST MHL 2007 1 1A1                            | CUSIP: 61915YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10536633 | PA      | $9262315.34     | 0.00%             | 2047-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.25000 03/20/24-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-12321844.98   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 1A1           | CUSIP: 12668AGN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6068379 | PA      | $5695720.40     | 0.00%             | 2035-11-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H6 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H6 A1 144A                 | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8649215 | PA      | $8659460.64     | 0.00%             | 2069-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 7A1             | CUSIP: 058928AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25494 | PA      | $22360.15       | 0.00%             | 2036-03-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A4             | CUSIP: 55275BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21346273 | PA      | $7549465.88     | 0.00%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2802541000 | PA      | $2717300061.99  | 1.34%             | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-31T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 31T1 A2          | CUSIP: 12667FYB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       100596 | PA      | $93394.90       | 0.00%             | 2034-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                       | ACE SECURITIES CORP. ACE 2005 HE3 M5                       | CUSIP: 004421NG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3357634 | PA      | $2708563.11     | 0.00%             | 2035-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 2 A 144A          | CUSIP: 694961AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5796719 | PA      | $5835392.81     | 0.00%             | 2031-08-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA7007 FN 02/46 FIXED 4.5                        | CUSIP: 3140EBYD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65448 | PA      | $64806.21       | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-3CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 3CB 1A14         | CUSIP: 12667FY41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5037657 | PA      | $4490860.18     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RIPON HOLDCO FINANCING SARL                                                      | RIPONSPVASSETS 3MSONIA  + 0BP                              | CUSIP: 967BVF000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     24190394 | PA      | $31884349.31    | 0.02%             | 2056-08-20      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| ROMARK CLO LTD 2017-1A                                                           | ROMARK CLO LTD RMRK 2017 1A A1R 144A                       | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       710034 | PA      | $710430.22      | 0.00%             | 2030-10-23      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A4 144A      | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3993067 | PA      | $2662441.07     | 0.00%             | 2037-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-AR8                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR8 A1           | CUSIP: 94985YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13153 | PA      | $12108.98       | 0.00%             | 2037-11-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                               | VENTURE GLOBAL PLAQUE SR SECURED 144A 01/34 6.5            | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     41020000 | PA      | $43205644.05    | 0.02%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.02 10/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-18613147.15   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ0203 FR 11/53 FIXED 6.5                | CUSIP: 3142GQGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37027 | PA      | $38499.13       | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCM LOAN INCOME FUND I LTD                                                       | LCM LOAN INCOME FUND LTD LCMLF 1A A 144A                   | CUSIP: 50189XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4241441 | PA      | $4245182.65     | 0.00%             | 2031-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8000 FR 07/34 FIXED 3                  | CUSIP: 3132D53H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3408 | PA      | $3300.59        | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6687 FN 08/46 FIXED 3.5                        | CUSIP: 3140FEND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78047 | PA      | $72947.75       | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2007-10CB                                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 10CB A1          | CUSIP: 02150HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6293424 | PA      | $2568051.02     | 0.00%             | 2037-05-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-5                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 5 1A             | CUSIP: 59025RAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24773247 | PA      | $15220953.10    | 0.01%             | 2037-10-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2006-7                                                     | TERWIN MORTGAGE TRUST TMTS 2006 7 2A3 144A                 | CUSIP: 88156PAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17279818 | PA      | $7495262.72     | 0.00%             | 2037-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BNC1                                         | STRUCTURED ASSET SECURITIES CO SASC 2007 BNC1 A1           | CUSIP: 86364XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32877255 | PA      | $20713883.71    | 0.01%             | 2037-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 2A3           | CUSIP: 16163LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1253 | PA      | $1249.74        | 0.00%             | 2035-06-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A BR 144A                          | CUSIP: ACI1746S0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     52929000 | PA      | $60997927.10    | 0.03%             | 2054-10-29      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-2A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2025 2A A2A 144A      | CUSIP: 96041KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95550000 | PA      | $95849597.03    | 0.05%             | 2028-09-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF211 RR                               | CUSIP: ACI2QBKJ5<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     23919930 | PA      | $27922847.52    | 0.01%             | 2026-07-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1221 FN 07/49 FIXED VAR                        | CUSIP: 3140X4LB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42411 | PA      | $39350.60       | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2981 FR 05/53 FIXED 6.5                | CUSIP: 3132DQJ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       209181 | PA      | $217699.98      | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2B           | CUSIP: 17310VAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2998404 | PA      | $2049213.08     | 0.00%             | 2036-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-AR1                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AR1 A2C 144A      | CUSIP: 59020VAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4989378 | PA      | $1306942.13     | 0.00%             | 2037-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 567875 FN 09/30 FLOATING VAR                     | CUSIP: 31386M2G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1906 | PA      | $1922.07        | 0.00%             | 2030-09-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1             | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6780868 | PA      | $2072968.97     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08774 FG 08/47 FIXED 3.5                | CUSIP: 3128MJ2G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3005 | PA      | $2811.38        | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9324 FN 09/47 FIXED 4                          | CUSIP: 3140GYLE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3379047 | PA      | $3241289.82     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A5            | CUSIP: 86358BAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1667744 | PA      | $1649973.48     | 0.00%             | 2037-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1738781.03     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6539 FN 11/45 FIXED 4.5                        | CUSIP: 3140EBHR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26261 | PA      | $26143.30       | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1035 FN 04/27 FIXED 3                          | CUSIP: 31418AEH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3808 | PA      | $3772.82        | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-14H                                                         | LEHMAN XS TRUST LXS 2007 14H A3                            | CUSIP: 52525LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25832865 | PA      | $19032534.06    | 0.01%             | 2047-07-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20270610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-5041.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886394 FN 08/36 FIXED 6                          | CUSIP: 31410DXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8516 | PA      | $8924.64        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4862                                                          | FREDDIE MAC FHR 4862 NO                                    | CUSIP: 3137FKUH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24990555 | PA      | $15979825.23    | 0.01%             | 2057-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP SAL                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $101.41         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H17                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H17 FC             | CUSIP: 38376RXT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3375967 | PA      | $3386769.34     | 0.00%             | 2066-08-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0628 FN 05/47 FIXED 4.5                        | CUSIP: 3140FKVW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13105 | PA      | $12952.44       | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2002-AL1                                               | STRUCTURED ASSET SECURITIES CO SASC 2002 AL1 A3            | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43107 | PA      | $8836.37        | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A3 144A        | CUSIP: 39571NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22100000 | PA      | $22618603.02    | 0.01%             | 2060-03-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 M1 144A        | CUSIP: 12662NAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33690800 | PA      | $24629433.61    | 0.01%             | 2061-05-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A3           | CUSIP: 92922FE95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21915 | PA      | $22019.55       | 0.00%             | 2045-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-8                                                | VERUS SECURITIZATION TRUST VERUS 2024 8 A1 144A            | CUSIP: 92540PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16553229 | PA      | $16653782.88    | 0.01%             | 2069-10-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                              | SPACE COAST CREDIT UNION SCCU 2024 1A A2 144A              | CUSIP: 78436RAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18687628 | PA      | $18719106.92    | 0.01%             | 2027-12-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3382 FN 12/46 FIXED 4                          | CUSIP: 3140FNXL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2039801 | PA      | $1960135.74     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A           | CUSIP: 92925DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6432006 | PA      | $5568570.22     | 0.00%             | 2046-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8164 FN 07/47 FIXED 3.5                        | CUSIP: 3140GXCA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2311 | PA      | $2140.63        | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A3            | CUSIP: 06050HKR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1995 | PA      | $1946.88        | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-A                                 | NAVIENT STUDENT LOAN TRUST NAVSL 2020 A A2A 144A           | CUSIP: 63941FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7573342 | PA      | $7326931.27     | 0.00%             | 2068-11-15      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 846877 FH 03/31 FLOATING VAR             | CUSIP: 3128HDUA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3071 | PA      | $3089.40        | 0.00%             | 2031-03-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7387 FN 02/53 FIXED 5                          | CUSIP: 3140NCF53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       544552 | PA      | $542655.20      | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $12922175.96    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2921 FN 10/48 FIXED 3                          | CUSIP: 3140QAG79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173151 | PA      | $154296.05      | 0.00%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972112 FH 01/33 FLOATING VAR             | CUSIP: 31336CKZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2740 | PA      | $2794.80        | 0.00%             | 2033-01-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A3             | CUSIP: 55275RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6936397 | PA      | $3321917.74     | 0.00%             | 2036-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4171 FN 12/44 FIXED 4                          | CUSIP: 3138WDT50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       162688 | PA      | $156787.79      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                     | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    204657852 | PA      | $187341357.91   | 0.09%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY3                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY3 1A1          | CUSIP: 02148DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2277454 | PA      | $1808773.93     | 0.00%             | 2047-03-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1                    | CUSIP: 12669GUM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       355794 | PA      | $265899.86      | 0.00%             | 2035-04-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC 2003-AR3                                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2003 AR3 M4            | CUSIP: 03072SHJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       886534 | PA      | $848268.27      | 0.00%             | 2033-06-25      | Floating      | 10.12%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2594 FN 03/46 FIXED 4.5                        | CUSIP: 31418B3C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72975 | PA      | $72469.51       | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                                     | ACE SECURITIES CORP. ACE 2006 NC2 A2D                      | CUSIP: 00441XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17615329 | PA      | $5258186.28     | 0.00%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-709680.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q60692 FG 12/48 FIXED 3.5                | CUSIP: 3132VLXW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       350248 | PA      | $324301.02      | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 2A3           | CUSIP: 12667GN58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2490596 | PA      | $2314391.53     | 0.00%             | 2035-08-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.43500 11/01/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3214351.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2005-HE2                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2005 HE2 M2            | CUSIP: 86358EVN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2282904 | PA      | $2225371.80     | 0.00%             | 2035-07-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-113                                                       | FANNIE MAE FNR 2006 113 BQ                                 | CUSIP: 31396LZ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       290865 | PA      | $12506.25       | 0.00%             | 2036-11-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 16 A1                     | CUSIP: 12544MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10576371 | PA      | $4350626.29     | 0.00%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 2A1          | CUSIP: 32051GPY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3046 | PA      | $2088.68        | 0.00%             | 2035-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-CES1                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 CES1 A1A 144A     | CUSIP: 26846VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14251374 | PA      | $14434240.10    | 0.01%             | 2060-01-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2004-12                                                    | BEAR STEARNS ALT A TRUST BALTA 2004 12 2A1                 | CUSIP: 07386HPD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        42600 | PA      | $40881.52       | 0.00%             | 2035-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR5 A2            | CUSIP: 86364HAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11377466 | PA      | $9808992.21     | 0.00%             | 2047-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-390834.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DLLMT 2024-1 LLC                                                                 | DLLMT LLC DLLMT 2024 1A A2 144A                            | CUSIP: 23347AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25397591 | PA      | $25474779.75    | 0.01%             | 2027-02-22      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $2622.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR 01/60 6.95                | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     57150000 | PA      | $47042165.25    | 0.02%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| KKR CLO 17 LTD 17                                                                | KKR FINANCIAL CLO LTD KKR 17 AR 144A                       | CUSIP: 48251FAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6000000 | PA      | $6009970.62     | 0.00%             | 2034-04-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83453 FG 10/47 FIXED 3.5                | CUSIP: 3132L8ZS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40785 | PA      | $37994.06       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-6869.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-33273413.98   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1                 | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3045 | PA      | $3021.43        | 0.00%             | 2031-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0978 FR 10/52 FIXED 5.5                | CUSIP: 3133BNCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4351297 | PA      | $4407644.99     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 4 A3             | CUSIP: 802919AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94300000 | PA      | $94642969.10    | 0.05%             | 2029-01-16      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-55269.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY3749 FR 05/55 FIXED 7                  | CUSIP: 31426NEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8674834 | PA      | $9097445.93     | 0.00%             | 2055-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A B2 144A         | CUSIP: 64830TBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15039082 | PA      | $14692975.69    | 0.01%             | 2059-10-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2007-3                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 3 1A1A           | CUSIP: 41164UAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30861881 | PA      | $24632416.40    | 0.01%             | 2037-05-19      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-2                                                     | LEHMAN MORTGAGE TRUST LMT 2005 2 5A1                       | CUSIP: 52520MCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       549874 | PA      | $296980.92      | 0.00%             | 2035-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4895 FN 01/53 FIXED 6.5                        | CUSIP: 31418ENM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24634 | PA      | $25506.59       | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 M2 144A       | CUSIP: 17329YAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44368800 | PA      | $33761453.37    | 0.02%             | 2061-05-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS E 144A                   | CUSIP: 90137LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13028000 | PA      | $11917363.00    | 0.01%             | 2035-05-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 10CB 1A1         | CUSIP: 12667GAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8020146 | PA      | $5969829.39     | 0.00%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-67                                                               | FANNIE MAE FNR 2008 67 ZW                                  | CUSIP: 31397MCX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       829583 | PA      | $843775.83      | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-C                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 C M1             | CUSIP: 64352VNZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4707278 | PA      | $4550570.58     | 0.00%             | 2035-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-6                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 6 1A             | CUSIP: 54251RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11907158 | PA      | $8265889.24     | 0.00%             | 2036-07-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1                 | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6617648 | PA      | $5049239.52     | 0.00%             | 2035-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| YELLOW TULIP BIDCO BV                                                            | YELLOW TULIP BIDCO B.V. GALIBIER BIDCO PPN                 | CUSIP: ACI2QBLH8<br>LEI: 7245007F7OM6G569EP33 | Long             | DBT              | CORP              | NL        |     47123000 | PA      | $32231983.29    | 0.02%             | 2036-07-30      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0323 FR 09/52 FIXED 4                  | CUSIP: 3133BMLC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       823074 | PA      | $777115.22      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7467 FN 08/47 FIXED 3.5                        | CUSIP: 3140GWJM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56798 | PA      | $52807.93       | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A F 144A              | CUSIP: ACI2PHM10<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9397882 | PA      | $12679840.59    | 0.01%             | 2048-06-20      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3956 FN 12/32 FIXED VAR                        | CUSIP: 3140J8ME0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       209052 | PA      | $204360.36      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995724 FN 04/39 FIXED VAR                        | CUSIP: 31416CD52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       329208 | PA      | $347098.78      | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BT8052 FN 01/53 FIXED 6                          | CUSIP: 3140LW5N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       175785 | PA      | $180221.54      | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.12 SP SAL                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $635987.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-2                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 2 2A3            | CUSIP: 542514TT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68337482 | PA      | $24278059.15    | 0.01%             | 2046-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FE             | CUSIP: 38376RRG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2579631 | PA      | $2597564.62     | 0.00%             | 2066-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.3* 07/20/23-8Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $23120399.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0776 FN 06/31 FIXED 4.5                        | CUSIP: 31417Y2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3903 | PA      | $3925.79        | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43277 FG 09/46 FIXED 3                  | CUSIP: 3132WGUB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48994 | PA      | $44360.10       | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-ACC1                                   | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 ACC1 M2          | CUSIP: 46628RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2209500 | PA      | $2130570.36     | 0.00%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-156132.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3877 FN 01/48 FIXED 3.5                        | CUSIP: 3140H5JX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35773340 | PA      | $33188354.28    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 09/17/25-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $84090529.07    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2024-A                                              | WORLD OMNI SELECT AUTO TRUST WOSAT 2024 A A3               | CUSIP: 98164LAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21400000 | PA      | $21540576.60    | 0.01%             | 2030-02-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4605 FN 02/48 FIXED 4                          | CUSIP: 3140H6DK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1348941 | PA      | $1297569.17     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 1B1 144A       | CUSIP: 12597GAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60998550 | PA      | $55694317.39    | 0.03%             | 2059-04-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-OPT1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 OPT1 A2D          | CUSIP: 59022VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       971000 | PA      | $830984.13      | 0.00%             | 2037-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY5241 FN 06/53 FIXED 5.5                        | CUSIP: 3140NMZF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       262964 | PA      | $265954.27      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A X 144A                 | CUSIP: ACI2Q4KZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |       888200 | PA      | $1043259.68     | 0.00%             | 2067-08-22      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM40 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-499085.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                               | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A49            | CUSIP: 94985JCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       308625 | PA      | $292581.27      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5853 FN 12/46 FIXED 3.5                        | CUSIP: 3140FRQF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15977 | PA      | $14942.55       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-60446.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2002-HE1                                         | ASSET BACKED SECURITIES CORP H ABSHE 2002 HE1 M1           | CUSIP: 04541GCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27339 | PA      | $29575.86       | 0.00%             | 2032-03-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51138 FG 10/47 FIXED 3.5                | CUSIP: 3132XTHQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102864 | PA      | $95410.44       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A6A2          | CUSIP: 251513BD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        81614 | PA      | $71335.58       | 0.00%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| MERRION SQUARE RESIDENTIAL 2024-1 DAC24-1A                                       | MERRION SQUARE RESIDENTIAL MERRI 2024 1A A 144A            | CUSIP: ACI2PXBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     85213802 | PA      | $100249742.82   | 0.05%             | 2081-03-24      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08788 FG 11/47 FIXED 3.5                | CUSIP: 3128MJ2W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2728536 | PA      | $2547314.13     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC3 2A1          | CUSIP: 07387NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23315511 | PA      | $5151823.32     | 0.00%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB4                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB4 3A                   | CUSIP: 125431AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3593784 | PA      | $3167240.09     | 0.00%             | 2036-06-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2016-667M                          | COMM MORTGAGE TRUST COMM 2016 667M A 144A                  | CUSIP: 12636GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13000000 | PA      | $12259248.30    | 0.01%             | 2036-10-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LN TR 2006-2                                                  | MASTR REPERFORMING LOAN TRUST MARP 2006 2 1A1 144A         | CUSIP: 57645LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       125501 | PA      | $103002.09      | 0.00%             | 2036-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A12             | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       149355 | PA      | $74792.70       | 0.00%             | 2046-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                            | BBCCRE TRUST BBCCR 2015 GTP A 144A                         | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5500000 | PA      | $5084750.00     | 0.00%             | 2033-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF3249 FR 11/52 FIXED 6                  | CUSIP: 3133BQTE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       510395 | PA      | $525922.82      | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6435 FN 04/55 FIXED 7                          | CUSIP: 3140B7EH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       489100 | PA      | $514952.25      | 0.00%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LONGLEAF PINE RE LTD                                                             | LONGLEAF PINE RE LTD UNSECURED 144A 05/31 VAR              | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     25200000 | PA      | $28147140.00    | 0.01%             | 2031-05-27      | Floating      | 21.90%                | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 A1X 144A       | CUSIP: 12660QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105432944 | PA      | $1889442.70     | 0.00%             | 2061-02-25      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN TRUST 2012-RR2                                         | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2012 RR2 1A2 144A     | CUSIP: 94988GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13741822 | PA      | $12805330.39    | 0.01%             | 2047-09-27      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QA2                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA2 1A1           | CUSIP: 761118TN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5490522 | PA      | $3536167.67     | 0.00%             | 2036-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 03/30 5.25                       | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    129850000 | PA      | $157196261.94   | 0.08%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R5                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R5 M6             | CUSIP: 03072SE76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9000000 | PA      | $8156794.50     | 0.00%             | 2035-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.55000 07/21/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-10128917.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2005-BC3                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC3 M5             | CUSIP: 1266733G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4580583 | PA      | $4555782.61     | 0.00%             | 2035-06-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR4                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR4 3A1           | CUSIP: 456674AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1089060 | PA      | $1029824.13     | 0.00%             | 2037-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2446 FN 03/26 FIXED 3.5                        | CUSIP: 31416XWG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34511 | PA      | $34359.29       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR7                                                          | BCAP LLC TRUST BCAP 2013 RR7 2A2 144A                      | CUSIP: 05542RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4779625 | PA      | $4292393.82     | 0.00%             | 2037-06-26      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AS.6 SP BRC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $122.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3041 FR 05/53 FIXED 5                  | CUSIP: 3132DQLW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10837553 | PA      | $10819347.50    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR9                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR9 2A            | CUSIP: 17310RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2239747 | PA      | $1994631.48     | 0.00%             | 2036-11-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6747 FN 06/46 FIXED 4                          | CUSIP: 3140EBP96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4627 | PA      | $4452.35        | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2002-HF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2002 HF2 M3            | CUSIP: 86359ACR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       763801 | PA      | $705090.24      | 0.00%             | 2032-07-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3494 FN 10/48 FIXED 3.5                        | CUSIP: 31418C3C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3549 | PA      | $3286.98        | 0.00%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-3200.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4031 FN 02/48 FIXED 3.5                        | CUSIP: 3140H5PR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       189505 | PA      | $175994.16      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R6                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R6 M5             | CUSIP: 03072SG66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14800000 | PA      | $13880416.80    | 0.01%             | 2035-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9530 FN 02/45 FIXED 3.5                        | CUSIP: 3138YBSU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       511928 | PA      | $481550.54      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2006-2                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2006 2 1A2              | CUSIP: 02660YAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11161185 | PA      | $1910457.78     | 0.00%             | 2046-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                                | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A        | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     38000000 | PA      | $38183952.68    | 0.02%             | 2039-03-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-7                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 7 1A12            | CUSIP: 05951KAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        80436 | PA      | $70165.56       | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A3             | CUSIP: 55275BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6442618 | PA      | $2278550.47     | 0.00%             | 2036-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7924 FN 08/47 FIXED 4                          | CUSIP: 3140GWYW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18406 | PA      | $17706.43       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 1A              | CUSIP: 12667TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26202033 | PA      | $24833320.29    | 0.01%             | 2047-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR 2007-5AX                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 5AX 2A2            | CUSIP: 61751GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3292068 | PA      | $637632.02      | 0.00%             | 2037-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5353 FN 05/54 FIXED 5.5                        | CUSIP: 31418E5P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     96238957 | PA      | $97234724.82    | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175AC919 PIMCO FLOOR USD 0.0255 USD SOFR COMP             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1277500000 | NC      | $-182682.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $3277002.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG8599 FR 08/53 FIXED 6                  | CUSIP: 3133C9RU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       482632 | PA      | $494044.54      | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                               | VENTURE GLOBAL PLAQUE SR SECURED 144A 01/36 6.75           | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     46200000 | PA      | $49101452.40    | 0.02%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2B           | CUSIP: 00075WAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8909180 | PA      | $5018048.64     | 0.00%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A5             | CUSIP: 86359BNX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6394 | PA      | $6344.63        | 0.00%             | 2034-04-25      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83886 FG 01/48 FIXED 3.5                | CUSIP: 3132L9J71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43121 | PA      | $40083.15       | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                                         | LEHMAN XS TRUST LXS 2006 16N A4A                           | CUSIP: 52522DAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       119043 | PA      | $106194.17      | 0.00%             | 2046-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO2516 FN 05/27 FIXED 3                          | CUSIP: 3138LSYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20599 | PA      | $20352.73       | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5696 FN 03/45 FIXED 7                          | CUSIP: 31418FKJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       396198 | PA      | $415654.28      | 0.00%             | 2045-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2018-1 CLASS AA PASS THROUGH TRUST                               | BRITISH AIR 18 1 AA PTT PASS THRU CE 144A 03/33 3.8        | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3493783 | PA      | $3420468.87     | 0.00%             | 2033-03-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q61378 FG 02/49 FIXED 3.5                | CUSIP: 3132VMQ81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3262909 | PA      | $3024208.73     | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 5A1           | CUSIP: 12668AXL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32265 | PA      | $31884.98       | 0.00%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-F3                                               | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 F3 2A1            | CUSIP: 45671BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        89721 | PA      | $46533.30       | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251010                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $2468412.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5386 FN 09/47 FIXED 3.5                        | CUSIP: 3140GT6Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       472129 | PA      | $440232.17      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A F 144A             | CUSIP: ACI2DJF09<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9237032 | PA      | $12427548.81    | 0.01%             | 2053-03-14      | Floating      | 10.97%                | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 04/29 VAR                | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     10600000 | PA      | $10866967.04    | 0.01%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8705 FN 12/46 FIXED 3.5                        | CUSIP: 3140FGU72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34221 | PA      | $31995.88       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4962 FN 03/42 FIXED 4                          | CUSIP: 3138E9QQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4740550 | PA      | $4614171.86     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2127 FN 12/44 FIXED 4                          | CUSIP: 31418BLH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2161382 | PA      | $2084115.13     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-3                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M1             | CUSIP: 07388GAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       139164 | PA      | $139212.17      | 0.00%             | 2036-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-RP3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP3 PT 144A       | CUSIP: 17291MAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    726728357 | PA      | $609165293.06   | 0.30%             | 2062-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-141538.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2005-1                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2005 1 M6               | CUSIP: 29445FCT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1903915 | PA      | $1859443.63     | 0.00%             | 2035-04-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323380 FN 10/28 FIXED VAR                        | CUSIP: 31374TFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          283 | PA      | $291.90         | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 01/34 1.25           | CUSIP: ACI236111<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |      9800000 | PA      | $7960586.49     | 0.00%             | 2034-01-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                                       | HELLENIC REPUBLIC BONDS REGS 01/37 4                       | CUSIP: ACI0Z3HB8<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     78167966 | PA      | $95690030.42    | 0.05%             | 2037-01-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 02/30 5.375                   | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    241200000 | PA      | $249091830.04   | 0.12%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A1 2A1            | CUSIP: 59020UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23851 | PA      | $22710.97       | 0.00%             | 2034-02-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 M2 144A      | CUSIP: 36265TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19676000 | PA      | $16429158.96    | 0.01%             | 2061-06-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-7                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 7 A2                      | CUSIP: 81744FCW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       113763 | PA      | $104635.17      | 0.00%             | 2034-08-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA2313 FR 03/50 FIXED 3.5                | CUSIP: 3133KHSA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13385 | PA      | $12245.45       | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 1A1          | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121270980 | PA      | $83436168.57    | 0.04%             | 2037-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725236 FN 03/34 FIXED VAR                        | CUSIP: 31402CV58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          550 | PA      | $549.56         | 0.00%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7189 FN 05/46 FIXED 4                          | CUSIP: 3138WG7B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16809 | PA      | $16050.08       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9665 FN 05/47 FIXED 4                          | CUSIP: 3138WKW35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9772723 | PA      | $9404083.22     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5805 FN 03/48 FIXED 4.5                        | CUSIP: 3140H7NX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173298 | PA      | $170225.00      | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XII LTD / PREFERRED TERM SECURITIES XII INC            | PREFERRED TERM SECS XII SECURED 144A 12/33 VAR             | CUSIP: 74041NAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      2342027 | PA      | $2295186.75     | 0.00%             | 2033-12-24      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                                | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/37 5.5       | CUSIP: P7807HAB1<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    117045000 | PA      | $19078335.00    | 0.01%             | 2037-04-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $33954.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q57403 FG 07/48 FIXED 4                  | CUSIP: 3132Y1GM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1847918 | PA      | $1781498.22     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0136 FN 02/48 FIXED 4                          | CUSIP: 3140HDEJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       316600 | PA      | $301621.63      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q42596 FG 08/46 FIXED 3.5                | CUSIP: 3132WF3E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8206 | PA      | $7716.50        | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG          | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     21940000 | PA      | $2852200.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4202 FN 12/40 FIXED 1.5                        | CUSIP: 31418DU42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       646503 | PA      | $541815.85      | 0.00%             | 2040-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-59                                                               | FANNIE MAE FNR 2010 59 SE                                  | CUSIP: 31398RNF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       395449 | PA      | $39740.78       | 0.00%             | 2040-06-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BNC1                                         | STRUCTURED ASSET SECURITIES CO SASC 2007 BNC1 A2           | CUSIP: 86364XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85523866 | PA      | $36910330.33    | 0.02%             | 2037-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251007                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-263939.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4615 FN 09/46 FIXED 3.5                        | CUSIP: 3140FCDV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59251 | PA      | $55735.45       | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-13932.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1           | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1114058 | PA      | $1102100.51     | 0.00%             | 2036-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1512786.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC2                                           | MASTR ASSET BACKED SECURITIES MABS 2006 WMC2 A4            | CUSIP: 57644TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24099854 | PA      | $4885883.81     | 0.00%             | 2036-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                      | NEWGATE FUNDING PLC NGATE 2007 3X BB REGS                  | CUSIP: B2NDQHII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1732997 | PA      | $1983459.18     | 0.00%             | 2050-12-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-4                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 4 M4             | CUSIP: 64352VMX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8606397 | PA      | $8542506.29     | 0.00%             | 2035-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY LTD 2025-FL3                                             | ACRES PLC ACRES 2025 FL3 A 144A                            | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    111600000 | PA      | $111975154.56   | 0.06%             | 2040-08-18      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| CHEC LOAN TRUST 2004-2                                                           | CHEC LOAN TRUST CHEC 2004 2 M1                             | CUSIP: 162765AT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        68345 | PA      | $70380.53       | 0.00%             | 2034-06-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-FF1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FF1 B3 144A       | CUSIP: 59023WAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1055147 | PA      | $1278255.60     | 0.00%             | 2036-08-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-3657.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $11083.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A           | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        33565 | PA      | $34843969.18    | 0.02%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA A 144A                       | CUSIP: ACI2QV4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    612488991 | PA      | $825218431.17   | 0.41%             | 2055-05-28      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8869 FN 05/49 FIXED 3.5                        | CUSIP: 3140JR2B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2591636 | PA      | $2422924.37     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI0858 FN 12/41 FIXED 4                          | CUSIP: 3138AD5U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       598754 | PA      | $583781.37      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8790 FN 02/48 FIXED 4                          | CUSIP: 3140HAXU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       122918 | PA      | $118129.22      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q15843 FG 02/43 FIXED 3                  | CUSIP: 3132J65D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6600 | PA      | $6082.28        | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A5                     | CUSIP: 12544RAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       199035 | PA      | $87961.22       | 0.00%             | 2037-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                            | MERCURY AGGREGATOR L P TRANCHE 1 TERM LOAN                 | CUSIP: BA000FDV1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     16848642 | PA      | $4955141.41     | 0.00%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                          | BCAP LLC TRUST BCAP 2011 R11 29A8 144A                     | CUSIP: 05533FKK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9472 | PA      | $8731.46        | 0.00%             | 2036-02-26      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV6793 FN 10/52 FIXED 4                          | CUSIP: 3140MLRP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       467742 | PA      | $442400.51      | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 21A2                 | CUSIP: 07386HB83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       981052 | PA      | $694758.72      | 0.00%             | 2036-02-25      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CW1                                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW1 M2           | CUSIP: 46628MAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19000000 | PA      | $17357309.40    | 0.01%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE2 A5           | CUSIP: 46625SAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1723745 | PA      | $1712867.91     | 0.00%             | 2036-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2020-AGS                                           | COMMONBOND STUDENT LOAN TRUST CBSLT 2020 AGS A 144A        | CUSIP: 20267WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       612479 | PA      | $551410.82      | 0.00%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN5323 FN 03/49 FIXED 3.5                        | CUSIP: 3140JM4H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       287632 | PA      | $266112.90      | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX5304 FN 01/27 FIXED 4                          | CUSIP: 3138Y63N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3718 | PA      | $3703.17        | 0.00%             | 2027-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 1A1            | CUSIP: 43710EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21897952 | PA      | $8649691.10     | 0.00%             | 2037-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 1CB           | CUSIP: 93934FFY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       477816 | PA      | $339054.08      | 0.00%             | 2035-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-1476180.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR5                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR5 1A1           | CUSIP: 456680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8693582 | PA      | $3325520.23     | 0.00%             | 2037-09-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/34 5.4               | CUSIP: 715638CZ3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     13380000 | PA      | $3732665.66     | 0.00%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6070 FN 01/48 FIXED 3.5                        | CUSIP: 3140H7W86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       289826 | PA      | $268884.10      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3683 FN 06/39 FIXED 3.5                        | CUSIP: 31418DCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       391574 | PA      | $376528.87      | 0.00%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.06250 01/08/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $4470523.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175JI9T6 PIMCO FLOOR USD 0.026175 USD SOFR CO             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1955700000 | NC      | $-332860.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1                       | ACE SECURITIES CORP. ACE 2006 HE1 A1B2                     | CUSIP: 004421WL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3510448 | PA      | $3494626.27     | 0.00%             | 2036-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 2A1             | CUSIP: 05946XRV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        66566 | PA      | $60844.16       | 0.00%             | 2035-04-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP4869 FN 09/27 FIXED 3.5                        | CUSIP: 3138M8MT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14874 | PA      | $14753.45       | 0.00%             | 2027-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C               | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19826164 | PA      | $9147205.01     | 0.00%             | 2037-01-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2049 FN 12/49 FIXED VAR                        | CUSIP: 3140X5H30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9102365 | PA      | $8157895.65     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251003                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1394.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $184953.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8462 FN 06/28 FIXED 2                          | CUSIP: 3138WWML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21634 | PA      | $21141.96       | 0.00%             | 2028-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 12A1          | CUSIP: 07387AFX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       993480 | PA      | $911223.45      | 0.00%             | 2036-02-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2006-HE1                                           | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE1 M2           | CUSIP: 04541GVM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17632774 | PA      | $16135058.68    | 0.01%             | 2036-01-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                               | CUSIP: 21H0426A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    740557000 | PA      | $718276727.99   | 0.35%             | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 4 LTD                                                       | DIAMETER CAPITAL CLO DCLO 2022 4A A1R 144A                 | CUSIP: 25255NAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     92200000 | PA      | $92504221.28    | 0.05%             | 2037-01-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A       | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5600000 | PA      | $5443572.96     | 0.00%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV6              | CUSIP: 126673B92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1858513 | PA      | $1842147.66     | 0.00%             | 2035-08-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 1 AA PTT PASS THRU CE 07/29 3.575          | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7445448 | PA      | $7303760.08     | 0.00%             | 2029-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW7618 FN 08/52 FIXED 4                          | CUSIP: 3140N0PC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       160826 | PA      | $151937.26      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-566676.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3             | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       852950 | PA      | $218617.52      | 0.00%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                                      | TRINITY SQUARE TRINI 2021 1A AR 144A                       | CUSIP: ACI2NNG08<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    152281583 | PA      | $205332488.67   | 0.10%             | 2059-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $19897889.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54011 FG 02/48 FIXED 3.5                | CUSIP: 3132XWN56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1408304 | PA      | $1313284.12     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-3217.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0973 FN 12/25 FIXED 4                          | CUSIP: 3138A2CK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          574 | PA      | $571.96         | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 06/21/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $12468700.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/46 1                                    | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    170210502 | PA      | $131383920.56   | 0.06%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL3                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL3 PT 144A      | CUSIP: 36269VAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558212961 | PA      | $473924645.62   | 0.23%             | 2064-03-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-J4                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 J4 A9                     | CUSIP: 12669YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1229941 | PA      | $431268.21      | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 21CB A4          | CUSIP: 02147GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7097129 | PA      | $3755575.80     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1798 FR 03/34 FIXED 3                  | CUSIP: 3132AD7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       172745 | PA      | $167946.67      | 0.00%             | 2034-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60089 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-283130.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2022-1 LTD                                                    | ROCKFORD TOWER CLO LTD ROCKT 2022 1A A1R 144A              | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     70700000 | PA      | $70970249.34    | 0.04%             | 2035-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZI5095 FR 07/36 FIXED 6.5                | CUSIP: 3131WHUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          109 | PA      | $114.17         | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BI1705 G2 07/48 FIXED 4                       | CUSIP: 3617HA3N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1820591 | PA      | $1721420.10     | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54217 FG 02/48 FIXED 3.5                | CUSIP: 3132XWVK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       279219 | PA      | $260487.47      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1174358.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TAUPE FUNDING TRUST I 2024-1A                                                    | TAUPE FUNDING TRUST TAUPE 2024 1A A4 144A                  | CUSIP: 876692AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69065000 | PA      | $69918291.17    | 0.03%             | 2031-01-21      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                                  | IHEARTMEDIA INC   CLASS B COMMON STOCK                     | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12214441 | NS      | $30848792.19    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/17/25-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-24471289.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC8                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC8 M2            | CUSIP: 86358EEB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2068 | PA      | $1931.63        | 0.00%             | 2033-08-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9454 FN 04/47 FIXED 4                          | CUSIP: 3138WKQG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       107429 | PA      | $103376.67      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2022 5A A 144A        | CUSIP: 05377RFV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43730000 | PA      | $44001633.27    | 0.02%             | 2027-04-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZI9567 FR 12/39 FIXED 4.5                | CUSIP: 3131WNTY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23871 | PA      | $24007.62       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2013-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2013 4 1A2 144A         | CUSIP: 74932FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16411114 | PA      | $14007438.70    | 0.01%             | 2037-12-26      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC0262 FN 08/54 FIXED 7                          | CUSIP: 3140AMJG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       392017 | PA      | $411908.74      | 0.00%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4751 FN 03/43 FIXED VAR                        | CUSIP: 3140J9H53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13555 | PA      | $12844.99       | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP JPM                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $208424.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3814 FN 10/39 FIXED 3.5                        | CUSIP: 31418DGY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       296966 | PA      | $285101.96      | 0.00%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC2                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC2 A6           | CUSIP: 86358GAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13876826 | PA      | $5455997.67     | 0.00%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 04/33 7.125          | CUSIP: ACI2ML877<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |      6800000 | PA      | $6442305.91     | 0.00%             | 2033-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 AIOS 144A     | CUSIP: 173114AP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214564026 | PA      | $887662.10      | 0.00%             | 2070-03-01      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2C               | CUSIP: 61753NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19826082 | PA      | $8759353.34     | 0.00%             | 2037-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME IMPROVEMENT LOAN TRUST 2023-3C                         | GOODLEAP SUSTAINABLE HOME IMPR GOOD 2023 3C A 144A         | CUSIP: 38237CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7869401 | PA      | $7688617.72     | 0.00%             | 2055-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BARCLAYS CAPITAL REPO REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    178553000 | PA      | $178553000.00   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 1A1            | CUSIP: 61752JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3504166 | PA      | $1149757.02     | 0.00%             | 2046-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-3                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 3 2A             | CUSIP: 93934FNL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8151410 | PA      | $6498693.04     | 0.00%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6392 FN 02/41 FIXED 4                          | CUSIP: 3138A8C61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25752 | PA      | $25091.90       | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88000 10/16/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-547168.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2007-FA2                           | FIRST HORIZON ALTERNATIVE MORT FHAMS 2007 FA2 1A6          | CUSIP: 32053LAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2342201 | PA      | $200266.63      | 0.00%             | 2037-04-25      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.71500 08/07/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-897603.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A1 144A       | CUSIP: 16678RDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        75539 | PA      | $72613.86       | 0.00%             | 2036-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J3                        | COUNTRYWIDE HOME LOANS CWHL 2007 J3 A9                     | CUSIP: 17025QAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2566214 | PA      | $1082472.70     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.84200 12/26/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-810501.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-13R                                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 13R 3A2 144A        | CUSIP: 12642LBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2476292 | PA      | $1614777.65     | 0.00%             | 2036-11-26      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A5 3A3                 | CUSIP: 46629CAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1602803 | PA      | $1246424.71     | 0.00%             | 2036-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR3270 FN 02/51 FIXED 2.5                        | CUSIP: 3140L1T47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3792783 | PA      | $3218023.04     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL9 A2 144A        | CUSIP: 12654PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21900000 | PA      | $20813440.26    | 0.01%             | 2057-09-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG5389 G2 05/48 FIXED 4                       | CUSIP: 3617GP7A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       498285 | PA      | $471142.48      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA2568 FR 01/50 FIXED 4.5                | CUSIP: 3133KHZ90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4001142 | PA      | $3938821.36     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2005-FF8                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF8 M2             | CUSIP: 362341QS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       676123 | PA      | $675578.30      | 0.00%             | 2035-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2950 FN 04/45 FIXED 4                          | CUSIP: 3138YGH47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9855 | PA      | $9483.54        | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-107065.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                             | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 M5             | CUSIP: 86358EPG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2221940 | PA      | $2284739.73     | 0.00%             | 2034-11-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8461 FN 12/46 FIXED 3.5                        | CUSIP: 3138WJMK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3069135 | PA      | $2866224.47     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-1A                                                   | MARLETTE FUNDING TRUST MFT 2019 1A CERT 144A               | CUSIP: 57109X107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         6903 | PA      | $0.00           | 0.00%             | 2029-04-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| TARANIS REINSURANCE DESIGNATED ACTIVITY COMPANY                                  | TARANIS REINSURANCE DAC UNSECURED 144A 01/31 VAR           | CUSIP: ACI2LHDD8<br>LEI: 635400FQ9HHTLYKADZ22 | Long             | DBT              | CORP              | IE        |     18600000 | PA      | $22418215.63    | 0.01%             | 2031-01-08      | Floating      | 10.96%                | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 1A1            | CUSIP: 05949CBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       528882 | PA      | $401776.49      | 0.00%             | 2035-07-25      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                                   | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 2A1               | CUSIP: 466247XG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       141192 | PA      | $107433.88      | 0.00%             | 2035-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                               | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A          | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     19700000 | PA      | $19724625.00    | 0.01%             | 2035-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.47000 11/01/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3818497.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB1                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF1A         | CUSIP: 1248MGAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       456647 | PA      | $134457.67      | 0.00%             | 2037-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9019 FN 09/47 FIXED 4                          | CUSIP: 3140GYAV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       234480 | PA      | $225488.87      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK7497 FN 04/42 FIXED 3.5                        | CUSIP: 3138ECKK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40796 | PA      | $38730.99       | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-HE3                                     | MASTR ASSET BACKED SECURITIES MABS 2006 HE3 A3             | CUSIP: 57645JAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25694644 | PA      | $7384224.40     | 0.00%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE6384 FN 01/26 FIXED 4                          | CUSIP: 31419HCW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           69 | PA      | $68.45          | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ8604 FN 02/27 FIXED 3                          | CUSIP: 3138E1R25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14332 | PA      | $14207.56       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-8                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 8 1A1A            | CUSIP: 17307GE20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12373 | PA      | $9823.98        | 0.00%             | 2035-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 10/25 0.00000                                | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     21129000 | PA      | $21081588.85    | 0.01%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/34 6.528                     | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     16300000 | PA      | $18032040.12    | 0.01%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-32                                                        | FANNIE MAE FNR 2007 32 JS                                  | CUSIP: 31396VDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       702368 | PA      | $94621.72       | 0.00%             | 2037-04-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-WF1                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M3              | CUSIP: 65536RAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4024000 | PA      | $3984331.41     | 0.00%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4959 FN 08/47 FIXED 3.5                        | CUSIP: 3140GTQM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68814 | PA      | $64332.28       | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S3 1A12          | CUSIP: 16163HAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1713084 | PA      | $714693.41      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7401 FN 06/46 FIXED 4                          | CUSIP: 3138WHGK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40141 | PA      | $38614.97       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 6 B2                   | CUSIP: 07386HKH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3609166 | PA      | $3422938.20     | 0.00%             | 2034-07-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING XVII LTD 17A                                            | ALESCO PREFERRED FUNDING LTD ALESC 17A A1 144A             | CUSIP: 01450NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     40344686 | PA      | $38730898.52    | 0.02%             | 2038-09-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP4 PT 144A       | CUSIP: 17330WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373946757 | PA      | $303202237.95   | 0.15%             | 2061-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE5486 FN 10/25 FIXED 3.5                        | CUSIP: 31419GCY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          165 | PA      | $164.76         | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-6 LLC                                                                  | PRP ADVISORS, LLC PRPM 2025 6 A1 144A                      | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30669419 | PA      | $30724289.84    | 0.02%             | 2028-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 4A1           | CUSIP: 12667GCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1176585 | PA      | $1110996.55     | 0.00%             | 2035-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3                     | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M6           | CUSIP: 04541GQZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3982000 | PA      | $3669420.96     | 0.00%             | 2035-04-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 2 3A                 | CUSIP: 590219AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       140340 | PA      | $139189.41      | 0.00%             | 2036-05-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/1.0000 06/16/22-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $3597002.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA NOTES 144A 09/28 5.5                               | CUSIP: ACI2JSF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     13400000 | PA      | $16540288.72    | 0.01%             | 2028-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0115 FN 07/29 FIXED 4.5                        | CUSIP: 31417YDV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12158 | PA      | $12189.31       | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5226 FN 11/43 FIXED 7                          | CUSIP: 31418EYY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26753 | PA      | $28030.32       | 0.00%             | 2043-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A               | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37725765 | PA      | $35458612.80    | 0.02%             | 2037-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5894 FR 11/48 FIXED 4                  | CUSIP: 31329PRP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231413 | PA      | $222465.58      | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK8837 FN 08/48 FIXED 4                          | CUSIP: 3140HNZB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       134847 | PA      | $130436.10      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST A 144A       | CUSIP: 05555XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129580069 | PA      | $125640793.76   | 0.06%             | 2050-04-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | CDX HY45 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $65210302.62    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TRYSAIL CLO 2022-1A LTD                                                          | TRYSAIL CLO LTD TRYSL 2022 1A A 144A                       | CUSIP: 89856JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     28700000 | PA      | $28740214.44    | 0.01%             | 2033-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J1 1A6           | CUSIP: 12668BKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       137171 | PA      | $92357.30       | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $1100224.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 7 3A2                     | CUSIP: 12669GPL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       161935 | PA      | $127711.91      | 0.00%             | 2035-03-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM1                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM1 A2C           | CUSIP: 81375WKD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1466224 | PA      | $1443758.36     | 0.00%             | 2035-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $67056.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TERWIN MTGE TRUST 2007-QHL1                                                      | TERWIN MORTGAGE TRUST TMTS 2007 QHL1 A1 144A               | CUSIP: 88157YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       647955 | PA      | $649213.59      | 0.00%             | 2038-10-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9358 FN 03/47 FIXED 3.5                        | CUSIP: 3140FVMG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       242578 | PA      | $228548.42      | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8002 FR 08/34 FIXED 3                  | CUSIP: 3132D53K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39937 | PA      | $38675.13       | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $249474.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MTGE LN ASSET-BACKED CERT 2005-2                                           | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 2 M6             | CUSIP: 691215BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3162502 | PA      | $2787449.63     | 0.00%             | 2036-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A B3 144A         | CUSIP: 64830KBK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14980578 | PA      | $14642955.85    | 0.01%             | 2058-05-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK7669 FN 10/48 FIXED 4                          | CUSIP: 3140HMQX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       131138 | PA      | $125905.83      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1A 144A         | CUSIP: 83208DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    745045277 | PA      | $748612703.18   | 0.37%             | 2055-03-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0897 FR 10/52 FIXED 4                  | CUSIP: 3133BM7J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3386597 | PA      | $3203635.63     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-DSC1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2022 DSC1 A1 144A           | CUSIP: 46656AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11214872 | PA      | $11089086.71    | 0.01%             | 2063-01-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 12/25 0.00000                                | CUSIP: 912797NU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8949000 | PA      | $8866754.22     | 0.00%             | 2025-12-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 3A A2A 144A      | CUSIP: 96043CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43930329 | PA      | $43984961.12    | 0.02%             | 2027-09-15      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2008-R2                                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R2 A1 144A       | CUSIP: 466306AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2977491 | PA      | $1515524.33     | 0.00%             | 2036-11-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/27 4.125          | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      2700000 | PA      | $2656378.99     | 0.00%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0683 FN 04/48 FIXED 3.5                        | CUSIP: 3140H1XM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7284864 | PA      | $6797606.73     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.50000 09/21/22-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-214379.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA3910 FR 04/32 FIXED 3                  | CUSIP: 31329MKX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67689 | PA      | $65938.01       | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                                | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A          | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     42000000 | PA      | $42000000.00    | 0.02%             | 2033-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB0652 FR 06/50 FIXED 3.5                | CUSIP: 3133A6WM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       491578 | PA      | $454176.42      | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 397362 FN 04/27 FLOATING VAR                     | CUSIP: 31378FMK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9399 | PA      | $9299.82        | 0.00%             | 2027-04-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G3627 FH 06/37 FLOATING VAR             | CUSIP: 3128QUA43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          425 | PA      | $433.43         | 0.00%             | 2037-06-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08626 FG 02/45 FIXED 3                  | CUSIP: 3128MJVU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8432 | PA      | $7716.24        | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 3A1           | CUSIP: 92990GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       483803 | PA      | $423926.64      | 0.00%             | 2037-05-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.10000 09/02/25-27Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-27099458.34   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W12                                                    | FANNIEMAE WHOLE LOAN FNW 2003 W12 2A6                      | CUSIP: 31393ELQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14141 | PA      | $14093.48       | 0.00%             | 2043-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2023-2A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2023 2A C               | CUSIP: 30168CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37521397 | PA      | $37727172.22    | 0.02%             | 2028-07-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-70363.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-684400.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080568 G2 01/32 FLOATING VAR                  | CUSIP: 36225CT22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2434 | PA      | $2471.02        | 0.00%             | 2032-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR11                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR11 A1A          | CUSIP: 92922F2G2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11653169 | PA      | $11608737.55    | 0.01%             | 2045-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| MSJP 2015-HAUL                                                                   | MSJP MSJP 2015 HAUL XB 144A                                | CUSIP: 553697AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31700000 | PA      | $639897.79      | 0.00%             | 2047-09-05      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| TAUPE FUNDING TRUST I 2024-1A                                                    | TAUPE FUNDING TRUST TAUPE 2024 1A A2 144A                  | CUSIP: 876692AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       708795 | PA      | $709235.69      | 0.00%             | 2031-01-21      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-RS4                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS4 MII2          | CUSIP: 7609853J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4089281 | PA      | $3717082.93     | 0.00%             | 2034-04-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2481545.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R3                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R3 M5             | CUSIP: 03072SA39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8904735 | PA      | $8663891.87     | 0.00%             | 2035-05-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FLAMENCO SPV                                                                     | FLAMENCO SPV                                               | CUSIP: 990AAYFP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    409500000 | PA      | $427359783.13   | 0.21%             | 2030-12-31      | Floating      | 4.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555202 FN 01/33 FIXED VAR                        | CUSIP: 31385WX79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          414 | PA      | $427.08         | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1975 FN 03/48 FIXED 3.5                        | CUSIP: 3140HFFR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6121 | PA      | $5707.35        | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2005-OPT1                                            | STRUCTURED ASSET SECURITIES CO SASC 2005 OPT1 A3           | CUSIP: 86359DVD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1007238 | PA      | $830392.61      | 0.00%             | 2035-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-B                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 B 2A2            | CUSIP: 06050HD39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60264 | PA      | $58043.15       | 0.00%             | 2033-03-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A7          | CUSIP: 32052FAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       605465 | PA      | $153075.77      | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-R12                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M3            | CUSIP: 03072SXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2072164 | PA      | $2040689.33     | 0.00%             | 2035-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                             | GSAMP TRUST GSAMP 2006 FM1 A2C                             | CUSIP: 362334PJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1707275 | PA      | $1149018.25     | 0.00%             | 2036-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-31                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 31 4A2                    | CUSIP: 126694UT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       404588 | PA      | $384435.73      | 0.00%             | 2036-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ4087 FN 10/26 FIXED 3                          | CUSIP: 3138AVRH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16191 | PA      | $16065.54       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EMC MORTGAGE LOAN TRUST 2003-B                                                   | EMC MORTGAGE LOAN TRUST EMCM 2003 B A1 144A                | CUSIP: 268668CJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27937 | PA      | $27782.27       | 0.00%             | 2041-11-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| ALBA PLC 2007-1                                                                  | ALBA PLC ALBA 2007 1 B REGS                                | CUSIP: G021A2AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2481248 | PA      | $3250790.61     | 0.00%             | 2039-03-17      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-41                                                        | FANNIE MAE FNR 2018 41 PI                                  | CUSIP: 3136B13D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       241017 | PA      | $13917.45       | 0.00%             | 2047-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7036 FN 12/47 FIXED 4                          | CUSIP: 3140GVZA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5110720 | PA      | $4916337.78     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/2.6250 03/19/12-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $564037.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0149 G2 01/55 FIXED 6.5                     | CUSIP: 3618N5EX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    330250146 | PA      | $339581684.53   | 0.17%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX4001 FR 01/55 FIXED 7                  | CUSIP: 31425YNT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1352214 | PA      | $1419121.80     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F0304A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    471775000 | PA      | $451975542.08   | 0.22%             | 2040-10-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BUILDING SOC CCDS COMMON STOCK                  | CUSIP: ACI07BWB4<br>LEI: 549300XFX12G42QIKN82 | Long             | EP               | CORP              | GB        |       895621 | NS      | $156247922.12   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEXICAN UDIBONOS BONDS 11/28 4                             | CUSIP: ACI0TJTX9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1238093973 | PA      | $67418944.15    | 0.03%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2002-4                                            | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 4 M3              | CUSIP: 03072SDK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       929258 | PA      | $885841.00      | 0.00%             | 2033-02-25      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-1                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 1 A 144A          | CUSIP: 69548AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1500689 | PA      | $1510699.03     | 0.00%             | 2031-07-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 2 M3             | CUSIP: 68389FHD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3941000 | PA      | $3405148.14     | 0.00%             | 2035-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 3A1           | CUSIP: 021482AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1103299 | PA      | $506951.62      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5.5 JUMBOS                               | CUSIP: 21H0526A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119600000 | PA      | $120508784.19   | 0.06%             | 2054-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR3                                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR3 2A1            | CUSIP: 07400HAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11879931 | PA      | $10987513.77    | 0.01%             | 2036-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A            | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         3579 | PA      | $37344479.77    | 0.02%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.95000 04/16/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2708813.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-6                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 6 1A1            | CUSIP: 07387ADG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       664740 | PA      | $577935.29      | 0.00%             | 2035-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A E 144A                         | CUSIP: ACI2SNZ77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10274000 | PA      | $13842535.83    | 0.01%             | 2066-05-16      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS8                                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS8 M5            | CUSIP: 76110W3V6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2705225 | PA      | $2690460.11     | 0.00%             | 2035-08-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8661 FN 01/47 FIXED 4                          | CUSIP: 3138WJTT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7462 | PA      | $7177.84        | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4483 FN 12/46 FIXED 3.5                        | CUSIP: 3140FP6V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32781 | PA      | $30645.45       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 2A4              | CUSIP: 12670FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5169787 | PA      | $5015494.13     | 0.00%             | 2036-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F0204A4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |      -200000 | PA      | $-183863.30     | -0.00%            | 2040-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $540875.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2007-3XS                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 3XS 2A6            | CUSIP: 61752RAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6940919 | PA      | $2004633.76     | 0.00%             | 2047-01-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5964 FN 02/53 FIXED 6                          | CUSIP: 3140NATW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       586122 | PA      | $601615.98      | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M2            | CUSIP: 04542BHN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       316272 | PA      | $199468.54      | 0.00%             | 2034-01-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 11/25 0.00000                                | CUSIP: 912797QP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       600000 | PA      | $597589.50      | 0.00%             | 2025-11-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM35 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $5360.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2006-2                                                   | BNC MORTGAGE LOAN TRUST BNCMT 2006 2 A4                    | CUSIP: 055683AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       416906 | PA      | $409134.13      | 0.00%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $405411325.46   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2005-4                                             | DEUTSCHE ALT A SECURITIES INC DBALT 2005 4 A3              | CUSIP: 251510FU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2398968 | PA      | $2182099.72     | 0.00%             | 2035-09-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5387 FN 09/47 FIXED 4                          | CUSIP: 3140GT6Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1080158 | PA      | $1035923.45     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7774 FN 03/53 FIXED 5.5                        | CUSIP: 3140NCT82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6068849 | PA      | $6157728.86     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-13.94         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6796 FN 03/46 FIXED 4                          | CUSIP: 3138WGRS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       280267 | PA      | $269784.55      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q58632 FG 09/48 FIXED 3.5                | CUSIP: 3132Y2SW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1017342 | PA      | $942984.89      | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847305 FH 09/33 FLOATING VAR             | CUSIP: 3128JRDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          736 | PA      | $746.68         | 0.00%             | 2033-09-01      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $108604.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY9339 FN 08/53 FIXED 5.5                        | CUSIP: 3140NSLV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42006 | PA      | $42516.65       | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                                       | NAVESINK CLO, LIMITED NAVS 2024 2A A1 144A                 | CUSIP: 63942YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13400000 | PA      | $13411981.74    | 0.01%             | 2036-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 11 1A2 144A       | CUSIP: 17324LAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6433497 | PA      | $6291656.98     | 0.00%             | 2035-03-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3A          | CUSIP: 17312GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1152698 | PA      | $810450.85      | 0.00%             | 2045-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-431401.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG9293 G2 06/48 FIXED 4                       | CUSIP: 3617GUKE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1037193 | PA      | $980690.21      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                              | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR               | CUSIP: 92849FAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      5700000 | PA      | $5710260.00     | 0.00%             | 2030-01-08      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 1A3           | CUSIP: 86363NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8781119 | PA      | $7685240.99     | 0.00%             | 2047-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY43 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $95067969.48    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A2           | CUSIP: 92925VAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1392459 | PA      | $1198321.85     | 0.00%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH1413 FN 01/26 FIXED 3.5                        | CUSIP: 3138A2SB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5982 | PA      | $5957.64        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.25000 06/17/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-12314215.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO3400 FN 05/27 FIXED 3                          | CUSIP: 3138LTX60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12671 | PA      | $12537.90       | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX5281 FR 02/55 FIXED 7                  | CUSIP: 31426A2P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2569350 | PA      | $2745789.26     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 31A1          | CUSIP: 07384M4L3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13135 | PA      | $12815.54       | 0.00%             | 2035-01-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5711 G2 01/49 FIXED 4.5                     | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72849 | PA      | $71971.30       | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MORTGAGE LOAN AS 2004-1                                            | CHASE FUNDING MORTGAGE LOAN AS CFAB 2004 1 1M1             | CUSIP: 161546HV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3595900 | PA      | $3466168.98     | 0.00%             | 2033-05-25      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2004-U                                               | WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 U A1             | CUSIP: 949803AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10047 | PA      | $9939.72        | 0.00%             | 2034-10-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-5                                                | VERUS SECURITIZATION TRUST VERUS 2023 5 A1 144A            | CUSIP: 924934AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12576215 | PA      | $12669435.37    | 0.01%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1           | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25080 | PA      | $23849.93       | 0.00%             | 2045-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2024-B                                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2024 B A3              | CUSIP: 65479WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39800000 | PA      | $40001571.08    | 0.02%             | 2029-03-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 B6 144A      | CUSIP: 36263MCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3749290 | PA      | $1705260.11     | 0.00%             | 2052-03-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 7 LTD 2019-7A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 7A A 144A         | CUSIP: 03331FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4708153 | PA      | $4697874.10     | 0.00%             | 2037-04-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD1818 FR 10/52 FIXED 4                  | CUSIP: 3132DPAT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26678 | PA      | $25237.15       | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-5                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 5 A51                     | CUSIP: 12544VCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5244376 | PA      | $2433923.35     | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-3                                                | VERUS SECURITIZATION TRUST VERUS 2023 3 A1 144A            | CUSIP: 92539GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19718356 | PA      | $19768503.88    | 0.01%             | 2068-03-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2023-CES2                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2023 CES2 A1A 144A        | CUSIP: 748956AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7189440 | PA      | $7283615.94     | 0.00%             | 2043-09-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $544598.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/44 3                                    | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    615851000 | PA      | $482023689.36   | 0.24%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MMIFS RE LTD                                                                     | MMIFS RE LTD SECURED 144A 01/33 VAR                        | CUSIP: ACI2T3G55<br>LEI: 254900C86PCL10JRTQ88 | Long             | DBT              | CORP              | BM        |      8700000 | PA      | $6286979.95     | 0.00%             | 2033-01-10      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG40 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $394162.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9487 FN 05/47 FIXED 4                          | CUSIP: 3138WKRH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41567 | PA      | $39986.19       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C6                                          | CFCRE COMMERCIAL MORTGAGE TRUS CFCRE 2016 C6 XA            | CUSIP: 12532ABD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140604428 | PA      | $901696.19      | 0.00%             | 2049-11-10      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2003-OPT2                                    | MASTR ASSET BACKED SECURITIES MABS 2003 OPT2 M3            | CUSIP: 57643LBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2718144 | PA      | $2618320.66     | 0.00%             | 2033-05-25      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                                | CIM TRUST CIM 2024 R1 M2 144A                              | CUSIP: 17179VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17790000 | PA      | $15717634.01    | 0.01%             | 2064-06-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1369 FN 11/47 FIXED VAR                        | CUSIP: 3140X4QX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72982 | PA      | $63367.18       | 0.00%             | 2047-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0329 FN 09/28 FIXED VAR                        | CUSIP: 31418MLK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15494 | PA      | $15992.64       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.08000 06/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3915045.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83497 FG 10/47 FIXED 3.5                | CUSIP: 3132L83E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69818 | PA      | $65134.33       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                                    | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                    | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2647171 | PA      | $2159096.68     | 0.00%             | 2036-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SC0086 FR 10/40 FIXED 2.5                | CUSIP: 3132D9CX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22209989 | PA      | $20115465.65    | 0.01%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO LTD 2015-1A                                                    | PALMER SQUARE CLO LTD PLMRS 2015 1A A1A5 144A              | CUSIP: 69689ABU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     21660000 | PA      | $21683159.09    | 0.01%             | 2034-05-21      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3305103.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 A1 144A         | CUSIP: 52474AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95415086 | PA      | $95242098.59    | 0.05%             | 2058-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W6                                                     | FANNIEMAE WHOLE LOAN FNW 2002 W6 2A                        | CUSIP: 31392DH70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7747 | PA      | $7802.34        | 0.00%             | 2042-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4319 FN 01/49 FIXED 4                          | CUSIP: 3140JLYR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       296732 | PA      | $284759.15      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7813 FN 08/46 FIXED 4                          | CUSIP: 3138WHVF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       117409 | PA      | $113102.32      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S1 A5            | CUSIP: 16163FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1301221 | PA      | $499862.12      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84293 FG 05/48 FIXED 3.5                | CUSIP: 3132L9XW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       369263 | PA      | $342390.19      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-83CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 83CB A1          | CUSIP: 12668BGX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24599763 | PA      | $14813219.48    | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-2 CLASS AA PASS THROUGH TRUST                             | AMER AIRLN 15 2 AA PTT PASS THRU CE 03/29 3.6              | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2705030 | PA      | $2653328.94     | 0.00%             | 2029-03-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO9007 FN 02/50 FIXED 4                          | CUSIP: 3140K5AH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13164 | PA      | $12632.34       | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A2           | CUSIP: 12667GL84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91406 | PA      | $87779.85       | 0.00%             | 2035-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2005                                         | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 8 A13            | CUSIP: 05949CHA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       787255 | PA      | $699056.66      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2262 FN 09/46 FIXED 4                          | CUSIP: 3140F9QQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29052 | PA      | $27905.37       | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR5                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR5 2A1           | CUSIP: 45661ECM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7201936 | PA      | $6966163.81     | 0.00%             | 2036-05-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q37772 FG 12/45 FIXED 3                  | CUSIP: 3132QUT60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78175 | PA      | $70894.39       | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                     | ALAMO RE LTD UNSECURED 144A 06/27 VAR                      | CUSIP: 011395AP5<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     33700000 | PA      | $36215705.00    | 0.02%             | 2027-06-07      | Floating      | 12.42%                | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM2 TRUST                                                             | PRP ADVISORS, LLC PRPM 2023 NQM2 A1 144A                   | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23934348 | PA      | $24114492.46    | 0.01%             | 2068-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD5406 FN 09/46 FIXED 3.5                        | CUSIP: 3140FDAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       589042 | PA      | $550042.90      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                          | REACH FINANCIAL LLC REACH 2025 1A A 144A                   | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15196527 | PA      | $15242086.60    | 0.01%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15              | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   2069891000 | PA      | $631993245.49   | 0.31%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0V7A5 PIMCO FPPSWAPTION 2.11 CALL USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    122300000 | NC      | $2684741.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL4                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL4 A1 144A        | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15757770 | PA      | $14304724.31    | 0.01%             | 2060-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR1                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1          | CUSIP: 32053EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1408128 | PA      | $561659.25      | 0.00%             | 2037-05-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6371 FN 07/53 FIXED 6.5                        | CUSIP: 3140NPCH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1256347 | PA      | $1320436.81     | 0.00%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.56900 08/14/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $334475.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-264873.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A Y 144A              | CUSIP: ACI2PHLW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       950000 | PA      | $15904.24       | 0.00%             | 2048-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8055 FN 04/47 FIXED 4                          | CUSIP: 3140FT5R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1159149 | PA      | $1110766.53     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-1                                                   | HOME EQUITY ASSET TRUST HEAT 2004 1 B1                     | CUSIP: 437084AY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1687850 | PA      | $1696396.84     | 0.00%             | 2034-06-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| NRZT 2019-5A                                                                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 5A B3 144A         | CUSIP: 64830MCU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35411501 | PA      | $34189329.54    | 0.02%             | 2059-08-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3286 FN 02/28 FIXED 3                          | CUSIP: 31418CUL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6765 | PA      | $6686.94        | 0.00%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8574 FN 12/46 FIXED 4                          | CUSIP: 3138WJQ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5193197 | PA      | $4984884.98     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA9                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA9 A1           | CUSIP: 02150YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9252776 | PA      | $7629408.47     | 0.00%             | 2047-06-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BQ2355 FN 09/50 FIXED 2.5                        | CUSIP: 3140KMTM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8101923 | PA      | $6898828.14     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP BOA                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $123227.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF4             | CUSIP: 75970QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23927653 | PA      | $6096462.13     | 0.00%             | 2037-06-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54334 FG 02/48 FIXED 3.5                | CUSIP: 3132XWY88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52067604 | PA      | $48362270.91    | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251014                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-4832185.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JETBLUE 2020-1 CLASS A PASS THROUGH TRUST                                        | JETBLUE AIRWAYS CORP PASS THRU CE 05/34 4                  | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50092886 | PA      | $47219432.58    | 0.02%             | 2034-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 1A1            | CUSIP: 05949CPD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       451855 | PA      | $397910.52      | 0.00%             | 2036-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4942 FN 03/53 FIXED 6                          | CUSIP: 31418EP46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2211939 | PA      | $2271390.08     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX5829 FN 11/29 FIXED 3                          | CUSIP: 3138Y7PP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67661 | PA      | $66504.11       | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                                         | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                   | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     38400000 | PA      | $38445472.51    | 0.02%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-OA1                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 OA1 2A2                   | CUSIP: 362631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34126079 | PA      | $7508942.13     | 0.00%             | 2046-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 1A2             | CUSIP: 23246BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2902357 | PA      | $2763990.17     | 0.00%             | 2047-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM3 A2            | CUSIP: 81377EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61290482 | PA      | $20482709.05    | 0.01%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 6A1                 | CUSIP: 466247ZB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       659426 | PA      | $514222.86      | 0.00%             | 2035-11-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 1A           | CUSIP: 939336G23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       117565 | PA      | $109560.47      | 0.00%             | 2033-06-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 04/30 1.625                                | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1251109933 | PA      | $1270687051.01  | 0.63%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 A4                | CUSIP: 617451DR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6605304 | PA      | $6442260.94     | 0.00%             | 2036-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 3A1          | CUSIP: 45661KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       177498 | PA      | $108273.80      | 0.00%             | 2036-06-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 3A1            | CUSIP: 863579B49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24549 | PA      | $22600.27       | 0.00%             | 2035-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $12530158.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8805 FR 07/26 FIXED 6                  | CUSIP: 3132A9YA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11398 | PA      | $11641.22       | 0.00%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 09/27 VAR                        | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     61100000 | PA      | $62345777.68    | 0.03%             | 2027-09-13      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $2295329.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1953 FN 08/45 FIXED VAR                        | CUSIP: 3140J6E37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7697 | PA      | $7268.54        | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA6825 FN 04/40 FIXED 3.5                        | CUSIP: 3140QESP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       227745 | PA      | $218637.02      | 0.00%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                               | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A           | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9442738 | PA      | $8272699.38     | 0.00%             | 2046-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $9211466.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS1430 FR 03/37 FIXED 6.5                | CUSIP: 3132A1ST2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1670 | PA      | $1752.95        | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-16                                                               | FANNIE MAE FNR 2006 16 SM                                  | CUSIP: 31394V6K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       455442 | PA      | $34901.77       | 0.00%             | 2036-03-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0604 FN 05/45 FIXED 4                          | CUSIP: 3138YRU63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70541 | PA      | $67909.77       | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-6AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 6AR 3A             | CUSIP: 61748HBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1318 | PA      | $1270.31        | 0.00%             | 2034-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| STRUC ASSET SEC CORP 2005-SC1 PRIV PLCMT                                         | STRUCTURED ASSET SECURITIES CO SASC 2005 SC1 1A2 144A      | CUSIP: 86359DTG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4573399 | PA      | $3283945.09     | 0.00%             | 2031-05-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 04/42 2.875                         | CUSIP: ACI1Z3VF1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     43200000 | PA      | $32604701.84    | 0.02%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A4           | CUSIP: 16162WQL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       131701 | PA      | $118675.38      | 0.00%             | 2036-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                    | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  12055300000 | PA      | $285321838.55   | 0.14%             | 2028-05-17      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A5             | CUSIP: 74958YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49555 | PA      | $38519.60       | 0.00%             | 2037-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2005-AR2                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2005 AR2 5A1           | CUSIP: 251510GV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       150696 | PA      | $124136.17      | 0.00%             | 2035-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0945 FN 07/45 FIXED 4                          | CUSIP: 3138YSBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23705 | PA      | $22830.25       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                                          | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A             | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     84500000 | PA      | $84633640.13    | 0.04%             | 2034-08-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4855 FN 04/48 FIXED VAR                        | CUSIP: 3140J9MD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14848967 | PA      | $14253202.55    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-8                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 8 21A1                 | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8887714 | PA      | $7356324.36     | 0.00%             | 2035-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL3                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL3 SA 144A        | CUSIP: 12653JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       158487 | PA      | $154945.88      | 0.00%             | 2058-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2005-OPT2                                              | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 OPT2 M5           | CUSIP: 144531CN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3637279 | PA      | $3538929.01     | 0.00%             | 2035-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2436 FN 01/47 FIXED 3.5                        | CUSIP: 3140F9V69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9934083 | PA      | $9315739.91     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.00000 06/15/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $29011846.73    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                                     | ACE SECURITIES CORP. ACE 2006 NC2 A1                       | CUSIP: 00441XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32239932 | PA      | $24568965.51    | 0.01%             | 2036-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8687 FR 02/53 FIXED 6                  | CUSIP: 3133BWUL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1025980 | PA      | $1060476.29     | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-AR1                                                        | MORTGAGEIT TRUST MHL 2005 AR1 1A1                          | CUSIP: 61915RBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11376541 | PA      | $9412770.28     | 0.00%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-1                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 1 A2C            | CUSIP: 59023LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20386688 | PA      | $7725886.25     | 0.00%             | 2037-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.00000 06/15/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3085046.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ7280 FN 01/48 FIXED 4.5                        | CUSIP: 3140H9CS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       169683 | PA      | $167702.02      | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                             | GSAMP TRUST GSAMP 2007 NC1 A1                              | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4739513 | PA      | $2518809.75     | 0.00%             | 2046-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-3                                                   | LUMINENT MORTGAGE TRUST LUM 2006 3 21A1                    | CUSIP: 55027AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2677214 | PA      | $1631529.73     | 0.00%             | 2036-04-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P4 A3 144A       | CUSIP: 14687NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8033822 | PA      | $8117784.89     | 0.00%             | 2028-10-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-AMC1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AMC1 A2B          | CUSIP: 17309PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4219385 | PA      | $3829358.27     | 0.00%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 1.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0126A9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -32175000 | PA      | $-24713878.44   | -0.01%            | 2055-10-14      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP JPM                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $12090.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-22866.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6110 FN 12/47 FIXED 3.5                        | CUSIP: 3140H7YG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96975 | PA      | $89816.62       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $1126960.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/20/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-33378305.48   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2007-2                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2007 2 A4              | CUSIP: 9497EYAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $3667312.50     | 0.00%             | 2037-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 1A2          | CUSIP: 12668AJA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2448230 | PA      | $178973.92      | 0.00%             | 2035-11-25      | Floating      | 0.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.42760 07/31/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $3512250.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 D C 144A           | CUSIP: 78454XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6844251 | PA      | $7053900.15     | 0.00%             | 2058-10-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3278 FN 02/48 FIXED 4.5                        | CUSIP: 31418CUC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        86203 | PA      | $84850.07       | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0778 FN 11/32 FIXED 3                          | CUSIP: 3140Q72L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38266 | PA      | $37050.85       | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.87 03/22/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-6019203.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8353 FN 02/48 FIXED 4                          | CUSIP: 3140FUH76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33774 | PA      | $32500.45       | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-2A                                                          | REACH FINANCIAL LLC REACH 2024 2A A 144A                   | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3868738 | PA      | $3889170.39     | 0.00%             | 2031-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7621 FN 05/53 FIXED 6                          | CUSIP: 3140NCPF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3998785 | PA      | $4103097.47     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5 JUMBOS                                 | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    131116000 | PA      | $130267080.28   | 0.06%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ICG US CLO LTD 2015-2RA                                                          | ICG US CLO LTD ICG 2015 2RA A1R 144A                       | CUSIP: 44933WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     35936991 | PA      | $35936976.74    | 0.02%             | 2033-01-16      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-541220.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7984 FN 03/53 FIXED 5                          | CUSIP: 3140NC2S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84718 | PA      | $84429.30       | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2024-1A                                 | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2024 1A A 144A          | CUSIP: 76088YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5179206 | PA      | $5225587.51     | 0.00%             | 2032-06-25      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-6A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 6A B4A 144A        | CUSIP: 64830BBS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8357209 | PA      | $8156556.96     | 0.00%             | 2057-08-27      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA JR SUBORDINA REGS 12/49 VAR       | CUSIP: BJBQCWII7<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | EP               | CORP              | NL        |    244354225 | NS      | $330608266.76   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260218                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-24096.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE FUND MTGE LN ASSET-BACKED 2003-3                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 3 1A5             | CUSIP: 161546FF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1471650 | PA      | $1483597.58     | 0.00%             | 2033-03-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2023-NQM2                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2023 NQM2 PT 144A        | CUSIP: 06745DAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169504344 | PA      | $171876286.04   | 0.08%             | 2053-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD1191 FN 01/47 FIXED 3.5                        | CUSIP: 3140F8KD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17594 | PA      | $16444.03       | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $170761.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2003-3                                          | AEGIS ASSET BACKED SECURITIES AABST 2003 3 M1              | CUSIP: 00764MAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       309725 | PA      | $312765.41      | 0.00%             | 2034-01-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08666 FG 09/45 FIXED 3                  | CUSIP: 3128MJW48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87382 | PA      | $79524.31       | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 19 1AA PTT PASS THRU CE 08/33 3.15            | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1262822 | PA      | $1185225.04     | 0.00%             | 2033-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 617470 FN 12/31 FIXED 6.5                        | CUSIP: 31388W6F8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          313 | PA      | $328.30         | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 39CB 1A10        | CUSIP: 02148JAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       780535 | PA      | $644078.91      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                      | INTELSAT EMERGENCE SA COMMON STOCK                         | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |      7981591 | NS      | $7.98           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA2                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA2 2A1          | CUSIP: 32051D4S8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46683 | PA      | $46754.52       | 0.00%             | 2034-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 2A1            | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1492578 | PA      | $1285379.65     | 0.00%             | 2037-02-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9466 FN 09/47 FIXED 4                          | CUSIP: 3140GYQU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76055 | PA      | $73138.14       | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA X 144A                       | CUSIP: ACI2QV5B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10008000 | PA      | $14494269.22    | 0.01%             | 2055-05-28      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2019-4A                                                           | PIKES PEAK CLO PIPK 2019 4A ARR 144A                       | CUSIP: 72132WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     46500000 | PA      | $46573183.56    | 0.02%             | 2034-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-12T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 12T1 A1          | CUSIP: 02150LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       478261 | PA      | $210881.98      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-3                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 3 1A2 144A         | CUSIP: 74930NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22973436 | PA      | $19790450.61    | 0.01%             | 2037-03-26      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR7                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR7 7A1           | CUSIP: 45660LLS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        42525 | PA      | $33307.04       | 0.00%             | 2035-06-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2509 FN 10/29 FIXED 3                          | CUSIP: 3138Y3YF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       501853 | PA      | $493704.31      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2423                                                                 | FREDDIE MAC FHR 2423 MC                                    | CUSIP: 31339WBV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5741 | PA      | $5993.71        | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A5                                | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A5 1O 144A     | CUSIP: 63546FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61425000 | PA      | $9109941.75     | 0.00%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CROSSROADS ASSET TRUST 2025-A                                                    | CROSSROADS ASSET TRUST XROAD 2025 A A2 144A                | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3500000 | PA      | $3524107.30     | 0.00%             | 2032-02-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTGE SEC 1998-B                                               | BOMBARDIER CAPITAL MORTGAGE SE BCM 1998 B A                | CUSIP: 09774XAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        33956 | PA      | $33891.36       | 0.00%             | 2028-10-15      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1            | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8695876 | PA      | $7392684.48     | 0.00%             | 2037-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175AC950 PIMCO CAP USD 0.026175 USD SOFR COMP             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1955700000 | NC      | $-23455687.95   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1B 144A         | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62407766 | PA      | $63185360.55    | 0.03%             | 2056-03-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/26 2                                    | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       200000 | PA      | $196257.81      | 0.00%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 576124 FN 06/31 FIXED 6.5                        | CUSIP: 31386XAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1933 | PA      | $2004.69        | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                                                 | GRIFONAS FINANCE PLC GRIF 1 A REGS                         | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      8976258 | PA      | $10241573.71    | 0.01%             | 2039-08-28      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 02/29 9.5           | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    215900000 | PA      | $238062135.00   | 0.12%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-OA1                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 OA1 A1            | CUSIP: 25150QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6582243 | PA      | $6255982.77     | 0.00%             | 2047-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                                               | PRP ADVISORS, LLC PRPM 2023 RCF2 A1 144A                   | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3119475 | PA      | $3085766.40     | 0.00%             | 2053-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-SP3                                                             | RAAC SERIES RAAC 2007 SP3 A2                               | CUSIP: 74978FAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5962125 | PA      | $5950710.39     | 0.00%             | 2047-09-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP SAL                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $54.53          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA PASS THROUGH TRUST                                       | JETBLUE 2019 1 CLASS AA PASS THRU CE 11/33 2.75            | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2213251 | PA      | $1965461.84     | 0.00%             | 2033-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                                     | ACE SECURITIES CORP. ACE 2005 HE5 M5                       | CUSIP: 004421RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1718035 | PA      | $1450785.35     | 0.00%             | 2035-08-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8317 FR 04/53 FIXED 6                  | CUSIP: 3132DWG23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2149127 | PA      | $2208833.54     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                              | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A                | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7281977 | PA      | $7041298.95     | 0.00%             | 2037-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1A 144A            | CUSIP: 64032BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203400000 | PA      | $205130445.84   | 0.10%             | 2055-05-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $532.57         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A2 144A        | CUSIP: 21050UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60690000 | PA      | $62123619.18    | 0.03%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS A 144A                   | CUSIP: 90137LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17065742 | PA      | $16484440.47    | 0.01%             | 2035-05-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                                     | ACE SECURITIES CORP. ACE 2006 HE4 A1                       | CUSIP: 00442BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39227027 | PA      | $18783288.95    | 0.01%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.81000 01/02/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-682201.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375             | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     31191030 | PA      | $30700510.35    | 0.02%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2020-A                                                    | SOFI ALTERNATIVE TRUST SAT 2020 A B 144A                   | CUSIP: 83406XAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54100000 | PA      | $46370792.51    | 0.02%             | 2046-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A D 144A                       | CUSIP: ACI2NG9B7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     28014000 | PA      | $32697183.21    | 0.02%             | 2058-06-28      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-30CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 30CB 1A5         | CUSIP: 12667GXP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2309076 | PA      | $1533754.74     | 0.00%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5867 FN 07/47 FIXED 3.5                        | CUSIP: 3140GUQV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1242428 | PA      | $1161247.45     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A4            | CUSIP: 14689MAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61238000 | PA      | $62138327.20    | 0.03%             | 2031-04-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                                             | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A        | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     24213251 | PA      | $23982081.23    | 0.01%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-161978.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-359124.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9578 FN 06/45 FIXED VAR                        | CUSIP: 3138ERUC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16110 | PA      | $15667.42       | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2024-C                                         | WORLD OMNI AUTO RECEIVABLES TR WOART 2024 C A3             | CUSIP: 98164NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69100000 | PA      | $69506349.46    | 0.03%             | 2029-12-17      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27600000 | PA      | $24246977.29    | 0.01%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 1A            | CUSIP: 93363CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3280089 | PA      | $3088308.53     | 0.00%             | 2046-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-4N                                                          | LEHMAN XS TRUST LXS 2007 4N 3A2A                           | CUSIP: 52524HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6102555 | PA      | $5534170.18     | 0.00%             | 2047-03-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-6                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 6 A1A              | CUSIP: 008684AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19942259 | PA      | $17289475.82    | 0.01%             | 2046-12-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| 123 LIGHTS RE LTD                                                                | 123 LIGHTS RE LTD UNSECURED 144A 09/31 VAR                 | CUSIP: 68302QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      6700000 | PA      | $6700000.00     | 0.00%             | 2031-09-14      | Floating      | 15.19%                | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A4           | CUSIP: 45660LQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3999684 | PA      | $2985527.85     | 0.00%             | 2035-08-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08710 FG 06/46 FIXED 3                  | CUSIP: 3128MJYG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       506709 | PA      | $459108.52      | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3120 FN 11/47 FIXED 3.5                        | CUSIP: 3140H4PE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15904 | PA      | $14776.58       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XIX LTD/PREFERRED TERM SECURITIES XIX INC              | PREFERRED TERM SECS XIX SR SECURED 144A 12/35 VAR          | CUSIP: 74042HAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     28471433 | PA      | $26478432.85    | 0.01%             | 2035-12-22      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 320                                                           | FREDDIEMAC STRIP FHS 320 V4                                | CUSIP: 3132HTX92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7955522 | PA      | $8084767.52     | 0.00%             | 2043-11-15      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL1 XS 144A         | CUSIP: 52474BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330744354 | PA      | $1493542.28     | 0.00%             | 2057-12-26      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3619 FN 01/50 FIXED VAR                        | CUSIP: 3140X7AV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       630716 | PA      | $622314.06      | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 2A4             | CUSIP: 23243HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31897320 | PA      | $29946655.81    | 0.01%             | 2047-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A A2 144A        | CUSIP: 21056DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61708000 | PA      | $64085960.98    | 0.03%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| EMF-UK PLC 2008-1X                                                               | EMF  UK PLC EUMF 2008 1X A1A REGS                          | CUSIP: ACI00S0H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9422254 | PA      | $12635235.22    | 0.01%             | 2046-03-13      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A E                      | CUSIP: ACI2Q4KR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     28448000 | PA      | $32746632.17    | 0.02%             | 2067-08-22      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2015-HAUL                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2015 HAUL XA 144A      | CUSIP: 05526WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1083490 | PA      | $10261.14       | 0.00%             | 2043-07-07      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD1783 FN 01/55 FIXED 7                          | CUSIP: 3140B16V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       970049 | PA      | $1021894.52     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2514 FN 05/44 FIXED 4.5                        | CUSIP: 3138WBYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84926 | PA      | $84373.11       | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5386 FN 07/45 FIXED 4                          | CUSIP: 3138WE6Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55313 | PA      | $53261.34       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A1 144A       | CUSIP: 81377GAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34940892 | PA      | $14520086.02    | 0.01%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $20286.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08779 FG 09/47 FIXED 3.5                | CUSIP: 3128MJ2M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55635 | PA      | $52014.21       | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-D                                                        | CENTEX HOME EQUITY CXHE 2005 D M5                          | CUSIP: 152314PR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3899605 | PA      | $3904543.15     | 0.00%             | 2035-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR3                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR3 2A1           | CUSIP: 45660LFJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6360 | PA      | $6341.14        | 0.00%             | 2035-04-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1                                  | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2024 1 A2A            | CUSIP: 023947AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11661433 | PA      | $11677140.12    | 0.01%             | 2028-02-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 36A1                 | CUSIP: 07386HR52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8146800 | PA      | $3568007.51     | 0.00%             | 2036-05-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS3                                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS3 M8            | CUSIP: 76110WS80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1982211 | PA      | $1932365.13     | 0.00%             | 2035-04-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 11 A2                     | CUSIP: 12544LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3744581 | PA      | $1139152.42     | 0.00%             | 2037-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175MR9F2 PIMCO CAP USD 0.0255 USD SOFR COMPOU             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1277500000 | NC      | $-16170339.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DILOSK RMBS NO.8 (STS) DAC                                                       | DILOSK RMBS DILSK 10 A REGS                                | CUSIP: ACI2R6TY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     11951585 | PA      | $14053819.68    | 0.01%             | 2060-09-24      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 B A1A 144A         | CUSIP: 83208BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75746129 | PA      | $76680692.58    | 0.04%             | 2053-03-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7938 G2 03/52 FIXED 3.5                     | CUSIP: 36179WZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       478550 | PA      | $440824.07      | 0.00%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF1                                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF1 M1             | CUSIP: 32027NYR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        77805 | PA      | $77738.23       | 0.00%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 5A1                   | CUSIP: 36242D4V2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1970086 | PA      | $1710114.56     | 0.00%             | 2035-05-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA R 144A                       | CUSIP: ACI2N0NJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     24872000 | PA      | $28285506.80    | 0.01%             | 2054-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9977 FN 10/47 FIXED 4                          | CUSIP: 3140H0CP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121959 | PA      | $118669.01      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C                                   | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 C M1             | CUSIP: 73316MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1634998 | PA      | $1575648.25     | 0.00%             | 2036-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                           | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M5             | CUSIP: 57643LJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       390315 | PA      | $417485.83      | 0.00%             | 2035-05-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D D 144A           | CUSIP: 78450PAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18543000 | PA      | $20184656.29    | 0.01%             | 2053-09-15      | Fixed         | 8.87%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2006-3                                   | AMERICAN HOME MORTGAGE INVESTM AHM 2006 3 11A1             | CUSIP: 026929AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4575784 | PA      | $3889932.42     | 0.00%             | 2046-12-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                                  | ROLLS ROYCE PLC COMPANY GUAR 06/26 3.375                   | CUSIP: ACI066P57<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |      3835000 | PA      | $5123389.85     | 0.00%             | 2026-06-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN0882 FN 11/48 FIXED 4                          | CUSIP: 3140JG6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20340 | PA      | $19515.55       | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 1A1 144A      | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20414901 | PA      | $9887232.81     | 0.00%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR2                                                | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR2 2A1A                | CUSIP: 23332QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18022702 | PA      | $12107934.10    | 0.01%             | 2036-10-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 4 A3 144A          | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30300000 | PA      | $30578196.42    | 0.02%             | 2028-11-20      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.48500 10/30/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3577003.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR6                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR6 2A3           | CUSIP: 17309RAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       250765 | PA      | $238772.77      | 0.00%             | 2036-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A4           | CUSIP: 12465MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5079130 | PA      | $2312992.72     | 0.00%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2007-1                                                 | IMPAC SECURED ASSETS CORP. IMSA 2007 1 A3                  | CUSIP: 452559AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23272275 | PA      | $20543056.19    | 0.01%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-1                                                 | IMPAC SECURED ASSETS CORP. IMSA 2006 1 1A2B                | CUSIP: 45254TTL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6247 | PA      | $5142.56        | 0.00%             | 2036-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 1A1           | CUSIP: 12668ACG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       773432 | PA      | $736887.85      | 0.00%             | 2035-11-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-1                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1A           | CUSIP: 41161PLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       960184 | PA      | $980169.17      | 0.00%             | 2035-03-19      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TRUST 2005 3                                             | MASTR ALTERNATIVE LOANS TRUST MALT 2005 3 6A3              | CUSIP: 576434N42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       226515 | PA      | $132160.32      | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-GEL4                                              | STRUCTURED ASSET SECURITIES CO SASC 2006 GEL4 M1 144A      | CUSIP: 86361NAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3050873 | PA      | $3040174.06     | 0.00%             | 2036-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2003-A6                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A6 1A             | CUSIP: 5899294G0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       219510 | PA      | $212727.99      | 0.00%             | 2033-09-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251208                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $14953.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.6* 08/05/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $16559177.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $152666.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46860 FG 03/47 FIXED 3                  | CUSIP: 3132WLTS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40281 | PA      | $36471.90       | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8817 FN 11/45 FIXED 4                          | CUSIP: 3140E1YP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       464536 | PA      | $446440.62      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE6825 FN 11/25 FIXED 4                          | CUSIP: 31419HSP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           64 | PA      | $63.72          | 0.00%             | 2025-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2            | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3512474 | PA      | $2297393.77     | 0.00%             | 2037-07-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6              | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     47354000 | PA      | $39912412.66    | 0.02%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR               | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    383591157 | PA      | $186856842.35   | 0.09%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1           | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15204 | PA      | $15232.80       | 0.00%             | 2034-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17                            | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 A 144A        | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100200000 | PA      | $100326886.27   | 0.05%             | 2040-02-18      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE8687 FR 09/52 FIXED 4                  | CUSIP: 3133BJUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       475489 | PA      | $449798.51      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6445 FN 07/47 FIXED 3.5                        | CUSIP: 3140GVET8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44955 | PA      | $42059.51       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 9.89906 08/03/23-01/02/26 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-3316725.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.76000 03/04/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2082137.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $100935.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A1            | CUSIP: 590238AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8210708 | PA      | $3216502.07     | 0.00%             | 2047-04-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2622 FN 06/44 FIXED 4.5                        | CUSIP: 3138WB4G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37967 | PA      | $37352.39       | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7356 FN 12/25 FIXED 3.5                        | CUSIP: 31419JE61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          210 | PA      | $209.13         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                  | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2651581 | PA      | $1206226.21     | 0.00%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A2              | CUSIP: 126673AX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       615880 | PA      | $602712.39      | 0.00%             | 2034-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2005-AR1                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 AR1 A1A          | CUSIP: 93934FHC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1255447 | PA      | $1118511.77     | 0.00%             | 2035-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8240 FN 11/31 FIXED 2.5                        | CUSIP: 3138WJEN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35618 | PA      | $34383.00       | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 07/39 6.75                       | CUSIP: ACI2W0SC9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    194500000 | PA      | $232995267.40   | 0.12%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 B2 144A       | CUSIP: 17330EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28296700 | PA      | $24421730.09    | 0.01%             | 2061-08-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF5                                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF5 M4             | CUSIP: 32027NRW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9217705 | PA      | $8973344.67     | 0.00%             | 2035-05-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF3                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF3 M2             | CUSIP: 36228FU79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59709 | PA      | $57021.02       | 0.00%             | 2034-05-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX6765 FN 01/45 FIXED 4                          | CUSIP: 3138Y8QT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       210764 | PA      | $203033.75      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-360094.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08757 FG 04/47 FIXED 3.5                | CUSIP: 3128MJZX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2237120 | PA      | $2093967.53     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 4A1               | CUSIP: 12638PBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41670 | PA      | $33243.69       | 0.00%             | 2037-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM1                              | SANTANDER MORTGAGE ASSET RECEI SAN 2025 NQM1 A1 144A       | CUSIP: 80262BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1802947 | PA      | $1815506.22     | 0.00%             | 2065-01-25      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-680121.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4          | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3100880 | PA      | $2844568.52     | 0.00%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-I                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 I 2A1            | CUSIP: 05949CHQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1835435 | PA      | $1735265.84     | 0.00%             | 2035-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-20                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 20 A6                     | CUSIP: 126694FD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       152431 | PA      | $90776.23       | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L                | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       565199 | PA      | $405548.10      | 0.00%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2F           | CUSIP: 17309BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10899575 | PA      | $3917286.49     | 0.00%             | 2036-05-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/37 8.5            | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   3587800000 | PA      | $191422737.46   | 0.09%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890405 FN 01/27 FIXED VAR                        | CUSIP: 31410LGN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6572 | PA      | $6543.15        | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6904740.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A4                 | CUSIP: 46628KAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       279330 | PA      | $227818.20      | 0.00%             | 2036-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6167 FN 02/48 FIXED 3.5                        | CUSIP: 3140H7Z91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1058588 | PA      | $981381.43      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A A 144A                 | CUSIP: ACI2Q4KY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |    903925523 | PA      | $1063877248.84  | 0.53%             | 2067-08-22      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2024-2A                                                        | T MOBILE US TRUST TMUST 2024 2A A 144A                     | CUSIP: 87268CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29700000 | PA      | $29834101.44    | 0.01%             | 2029-05-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-DA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2020 DA A 144A            | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       182735 | PA      | $173840.46      | 0.00%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 8F 4A1                    | CUSIP: 362611AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1199706 | PA      | $521111.45      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-WMC1                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 WMC1 M2           | CUSIP: 59020UQW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43799 | PA      | $43197.34       | 0.00%             | 2035-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2025-4A LTD                                                      | ATLANTIC AVENUE LTD MCCP 2025 4A A 144A                    | CUSIP: 04822PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     90700000 | PA      | $90700000.00    | 0.04%             | 2038-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                                     | FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF                       | CUSIP: 31393XGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1509 | PA      | $1505.92        | 0.00%             | 2044-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-2N                                                   | LEHMAN XS TRUST LXS 2007 2N 3A3                            | CUSIP: 52524LAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20412909 | PA      | $17494628.13    | 0.01%             | 2037-02-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.61300 08/22/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-47748.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/26 2.196                         | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     13187000 | PA      | $13088790.48    | 0.01%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA8880 FR 04/53 FIXED 5.5                | CUSIP: 3133KQ2M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77515 | PA      | $78962.26       | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1368 FR 04/53 FIXED 6                  | CUSIP: 3133C1QV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8699152 | PA      | $8950463.82     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2005-1                                                 | AEGIS ASSET BACKED SECURITIES AABST 2005 1 M5              | CUSIP: 00764MEP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9303351 | PA      | $8266526.02     | 0.00%             | 2035-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-5                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 5 M4               | CUSIP: 126673V33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1796283 | PA      | $1787262.97     | 0.00%             | 2035-10-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS1 A8            | CUSIP: 761118SG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1885971 | PA      | $1333902.89     | 0.00%             | 2036-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-3                                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 3 5A8             | CUSIP: 058931BL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31115 | PA      | $28292.45       | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1704 FN 05/40 FIXED VAR                        | CUSIP: 3138EH3N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1392 | PA      | $1474.77        | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S2 2A6           | CUSIP: 16163BBB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       447745 | PA      | $163492.13      | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 2A4              | CUSIP: 126673BB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       224453 | PA      | $219775.88      | 0.00%             | 2034-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-54                                                               | FANNIE MAE FNR 2007 54 IA                                  | CUSIP: 31396WEB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1563781 | PA      | $187138.92      | 0.00%             | 2037-06-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-111                                                              | FANNIE MAE FNR 2009 111 ZB                                 | CUSIP: 31398GQR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1267968 | PA      | $1265896.00     | 0.00%             | 2040-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLT 2024-3 MORTGAGE LOAN TRUST                                                  | COLT FUNDING LLC COLT 2024 3 A1 144A                       | CUSIP: 19688VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25075544 | PA      | $25458202.31    | 0.01%             | 2069-06-25      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2023-B                                                | CPS AUTO TRUST CPS 2023 B C 144A                           | CUSIP: 12664WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23006000 | PA      | $23217402.13    | 0.01%             | 2029-07-16      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 06/28 8.125         | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    259800000 | PA      | $269093046.00   | 0.13%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE5913 FN 11/25 FIXED 4                          | CUSIP: 31419GSB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           37 | PA      | $36.81          | 0.00%             | 2025-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.08501 08/01/23-01/02/26 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-12798322.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-675927.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6441 FN 02/53 FIXED 6.5                        | CUSIP: 3140NBEP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101845 | PA      | $106241.30      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 545874 FN 08/32 FIXED VAR                        | CUSIP: 31385JMX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19748 | PA      | $20392.68       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2019 RPL1 SA 144A         | CUSIP: 52473MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       305436 | PA      | $294544.90      | 0.00%             | 2058-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2022-6 DAC 6A                                                       | OCP EURO CLO OCPE 2022 6A ARR 144A                         | CUSIP: ACI2YHRS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     83600000 | PA      | $98458013.74    | 0.05%             | 2036-07-20      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                                | U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN            | CUSIP: 90290PAS3<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |     24269737 | PA      | $23234510.98    | 0.01%             | 2028-06-28      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED 144A 06/47 5.25            | CUSIP: X5424XBP2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    104400000 | PA      | $1.04           | 0.00%             | 2047-06-23      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2019 RPL1 B3 144A         | CUSIP: 52473MAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51617577 | PA      | $28704870.34    | 0.01%             | 2058-04-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8099 G2 06/52 FIXED 3.5                     | CUSIP: 36179W7L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70761353 | PA      | $64847394.36    | 0.03%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING VI CLO LTD 2016-6A                                                 | CEDAR FUNDING LTD CEDF 2016 6A ARR 144A                    | CUSIP: 15032DAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     15000000 | PA      | $15024669.75    | 0.01%             | 2034-04-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.77000 04/16/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2484729.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF5 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RCF5 A1 144A                   | CUSIP: 69381JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       717792 | PA      | $708120.65      | 0.00%             | 2054-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD5425 FN 05/55 FIXED 6.5                        | CUSIP: 3140B6A39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999901 | PA      | $1038636.79     | 0.00%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-5                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 5 M1               | CUSIP: 126670YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       954928 | PA      | $940779.08      | 0.00%             | 2036-08-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2447 FN 03/26 FIXED 3.5                        | CUSIP: 31416XWH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4123 | PA      | $4105.14        | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4007 FN 02/48 FIXED 3.5                        | CUSIP: 3140H5NZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       570709 | PA      | $528289.37      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 932872 FN 01/26 FIXED 3                          | CUSIP: 31412RMV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          999 | PA      | $994.63         | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.67500 07/24/23-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3562202.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $30787.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2016 LC24 XA           | CUSIP: 95000HBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235990629 | PA      | $2118157.49     | 0.00%             | 2049-10-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0877 FN 05/46 FIXED 4                          | CUSIP: 3140EU6P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2495997 | PA      | $2401088.01     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0970 FN 02/48 FIXED 3.5                        | CUSIP: 3140HECG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       208401 | PA      | $194462.15      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2046 FN 01/26 FIXED 3                          | CUSIP: 31416XHY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          385 | PA      | $383.61         | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-A                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 A M2              | CUSIP: 63860HAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11347000 | PA      | $11003569.43    | 0.01%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-1CON                                               | BANKERS HEALTHCARE GROUP SECUR BHG 2025 1CON A 144A        | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16949045 | PA      | $17128013.82    | 0.01%             | 2036-04-17      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H3 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H3 A1 144A                 | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32164396 | PA      | $32615662.94    | 0.02%             | 2069-06-25      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-SCHATZ FUT   DEC25 XEUR 20251208                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          -76 | NC      | $10952.20       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3297477.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                                           | QUERCUS RE DESIGNATED ACTIVITY 07/27 1                     | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |      3800000 | PA      | $4530767.17     | 0.00%             | 2027-07-08      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4392 FN 12/30 FIXED 3                          | CUSIP: 3140E83A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37805 | PA      | $36710.40       | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA3 2A1B          | CUSIP: 93364AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29517 | PA      | $24735.93       | 0.00%             | 2047-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-4                                                              | IMPAC CMB TRUST IMM 2004 4 2A2                             | CUSIP: 45254NJF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       436596 | PA      | $493594.73      | 0.00%             | 2034-09-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8344 FR 07/53 FIXED 6.5                | CUSIP: 3132DWHV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84738 | PA      | $87836.31       | 0.00%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1466 FN 09/40 FIXED 4.5                        | CUSIP: 31416WTY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       251036 | PA      | $251624.35      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                              | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M4                | CUSIP: 70069FLK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21655000 | PA      | $18699012.38    | 0.01%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.06-2 SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-3189575.01    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7186 FN 10/47 FIXED 4                          | CUSIP: 3140GV6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1273441 | PA      | $1224013.02     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREENE KING FINANCE PLC                                                          | GREENE KING FINANCE PLC SECURED 12/34 VAR                  | CUSIP: B06FKZII2<br>LEI: 213800QIJMYMW6TSBG41 | Long             | DBT              | CORP              | GB        |       427000 | PA      | $531201.67      | 0.00%             | 2034-12-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.36832 09/03/24-25Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $5371120.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA1942 FR 08/49 FIXED 3                  | CUSIP: 31334YEP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15398981 | PA      | $13782721.90    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2018-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP11 PT 144A        | CUSIP: 12655DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207239668 | PA      | $193566720.12   | 0.10%             | 2048-12-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/30 VAR             | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       970729 | PA      | $512059.55      | 0.00%             | 2030-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/28 6.8            | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     26077000 | PA      | $27087121.80    | 0.01%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS3X                                                    | RMAC SECURITIES PLC RMACS 2006 NS3X A2A REGS               | CUSIP: B1FJ01II9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2479028 | PA      | $3292701.62     | 0.00%             | 2044-06-12      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1439 FN 10/47 FIXED 3.5                        | CUSIP: 3140H2S58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       312750 | PA      | $291200.48      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-107154.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR4                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR4 1A1A          | CUSIP: 93934FPN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8102985 | PA      | $7656508.58     | 0.00%             | 2046-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PACIFIC PROPERTIE COMPANY GUAR 02/28 5.95           | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |      8000000 | PA      | $7895099.04     | 0.00%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                                | CIM TRUST CIM 2024 R1 M1 144A                              | CUSIP: 17179VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23875000 | PA      | $22311839.29    | 0.01%             | 2064-06-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-2                                                     | LEHMAN MORTGAGE TRUST LMT 2005 2 3A3                       | CUSIP: 52520MCA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24455 | PA      | $12493.16       | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A1 144A       | CUSIP: 17310VAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4073140 | PA      | $3980962.07     | 0.00%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                                       | HELLENIC REPUBLIC SR UNSECURED 144A REGS 04/27 2           | CUSIP: ACI1LSSZ1<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     29093000 | PA      | $34155631.23    | 0.02%             | 2027-04-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3622 FN 01/26 FIXED 4                          | CUSIP: 3138A5AY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          109 | PA      | $108.82         | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM2                                                     | ACE SECURITIES CORP. ACE 2004 FM2 M4                       | CUSIP: 004421GM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       840390 | PA      | $711795.03      | 0.00%             | 2034-06-25      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q56784 FG 06/48 FIXED 3.5                | CUSIP: 3132Y0RE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2276121 | PA      | $2115768.90     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS SECOND LIEN TR 2007-1                                               | BEAR STEARNS SECOND LIEN TRUST BSSLT 2007 1 2A             | CUSIP: 07401WAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1924465 | PA      | $1797212.40     | 0.00%             | 2037-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                                     | ACE SECURITIES CORP. ACE 2006 HE4 A2A                      | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       152162 | PA      | $59307.91       | 0.00%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP BOA                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $9.32           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-C                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 C 1AV1            | CUSIP: 63860KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       153749 | PA      | $151278.69      | 0.00%             | 2037-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-3F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 3F 1A6                    | CUSIP: 362334JM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       232559 | PA      | $294699.38      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-FLX1                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 FLX1 A2           | CUSIP: 45667WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5370616 | PA      | $5129128.86     | 0.00%             | 2036-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM5 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM5 A1A 144A            | CUSIP: 673919AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27766218 | PA      | $27989486.30    | 0.01%             | 2063-06-25      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVI LTD / PREFERRED TERM SECURITIES XXVI INC          | PREFERRED TERM SECS XXVI SR SECURED 144A 09/37 VAR         | CUSIP: 74042QAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     41913157 | PA      | $35626183.78    | 0.02%             | 2037-09-22      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM1                                                     | ACE SECURITIES CORP. ACE 2006 FM1 A2D                      | CUSIP: 00441VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31396548 | PA      | $7680948.85     | 0.00%             | 2036-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2003-2                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2003 2 M1             | CUSIP: 542514DU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1512757 | PA      | $1575964.27     | 0.00%             | 2033-06-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 B 2A4            | CUSIP: 456606LA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7345556 | PA      | $6777076.50     | 0.00%             | 2036-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| ALBA PLC 2006-2                                                                  | ALBA PLC ALBA 2006 2 A3A REGS                              | CUSIP: B1HMXTII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       419244 | PA      | $554750.56      | 0.00%             | 2038-12-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5649 FN 03/55 FIXED 7                          | CUSIP: 31418FH34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    462871631 | PA      | $484783854.01   | 0.24%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/43 2.875                                | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    118245000 | PA      | $92674518.75    | 0.05%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7883 FN 09/46 FIXED 3.5                        | CUSIP: 3140FFXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11940 | PA      | $11156.95       | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE4                                               | MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A1             | CUSIP: 576449AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       290913 | PA      | $85824.75       | 0.00%             | 2036-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-1                                                 | IMPAC SECURED ASSETS CORP. IMSA 2006 1 2A1                 | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       283031 | PA      | $265027.66      | 0.00%             | 2036-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003554 G2 05/34 FIXED 4.5                     | CUSIP: 36202D5P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3707 | PA      | $3694.15        | 0.00%             | 2034-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2359                                                                 | FREDDIE MAC FHR 2359 ZB                                    | CUSIP: 3133TV5T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10494 | PA      | $11253.87       | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 XS 144A         | CUSIP: 52473LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    697145767 | PA      | $4657212.58     | 0.00%             | 2056-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR2676 FN 02/51 FIXED 2.5                        | CUSIP: 3140L06N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5454686 | PA      | $4645917.15     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8298 FR 03/53 FIXED 6.5                | CUSIP: 3133BWGF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       111184 | PA      | $116011.57      | 0.00%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.00000 03/18/26-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $50923.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2006-RZ4                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RZ4 M1            | CUSIP: 75156XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1643004 | PA      | $1609987.91     | 0.00%             | 2036-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $3596.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2021-III LTD                                                        | CIFC FUNDING LTD CIFC 2021 3A A 144A                       | CUSIP: 12564DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     18100000 | PA      | $18128064.05    | 0.01%             | 2036-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| DOMI 2024-1 BV  24-1                                                             | DOMIVEST B.V. DOMI 2024 1 A REGS                           | CUSIP: ACI2P94C4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     13228336 | PA      | $15555872.13    | 0.01%             | 2056-06-15      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                                              | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A         | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     20170839 | PA      | $20184521.72    | 0.01%             | 2032-07-23      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2024-2A LLC                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2024 2A A 144A        | CUSIP: 05377RJG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86416000 | PA      | $87905932.82    | 0.04%             | 2028-10-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6711 G2 06/50 FIXED 3.5                     | CUSIP: 36179VN48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1745346 | PA      | $1603615.97     | 0.00%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.14 10/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-31013760.44   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR             | CUSIP: 903724CC4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      6702287 | PA      | $3652746.42     | 0.00%             | 2036-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50950 FG 09/47 FIXED 4                  | CUSIP: 3132XTBU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4051273 | PA      | $3891909.17     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6960 FN 03/46 FIXED 4                          | CUSIP: 3140F2WW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2053254 | PA      | $1975813.70     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.53200 08/20/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $641686.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-716582.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY8851 FN 08/45 FIXED 4                          | CUSIP: 3138YNZR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3544 | PA      | $3422.35        | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $377166.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/29 0.25                                 | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1510668492 | PA      | $1465914590.55  | 0.72%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GNRT-3A                                                                          | GENERATE CLO LTD. GNRT 3A A2R 144A                         | CUSIP: 98625UBC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    127900000 | PA      | $128881340.89   | 0.06%             | 2036-10-20      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO7976 FN 06/27 FIXED 3                          | CUSIP: 3138LY2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33152 | PA      | $32829.84       | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20300514                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $338783.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3 TRUST                                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL3 A1 144A      | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34922353 | PA      | $33905347.86    | 0.02%             | 2065-04-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH3492 FN 02/48 FIXED 4                          | CUSIP: 3140GR3A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1822 | PA      | $1770.70        | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 23A1                 | CUSIP: 07386HC58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       521128 | PA      | $488909.92      | 0.00%             | 2036-02-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX7881 FR 03/55 FIXED 7                  | CUSIP: 31426DXK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19104 | PA      | $20041.25       | 0.00%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1                       | ACE SECURITIES CORP. ACE 2006 HE1 A2D                      | CUSIP: 004421WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       176115 | PA      | $175455.72      | 0.00%             | 2036-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A E                              | CUSIP: ACI2P7X69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7101000 | PA      | $9673716.51     | 0.00%             | 2062-11-16      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-12CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 12CB A6          | CUSIP: 12668BXB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5298956 | PA      | $2623318.32     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP JPS                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $779.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735691 FN 04/32 FLOATING VAR                     | CUSIP: 31402RKC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2910 | PA      | $2965.11        | 0.00%             | 2032-04-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $47350.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-18                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 18 A2                     | CUSIP: 126694EJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1747866 | PA      | $858617.10      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M2             | CUSIP: 86358EPR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5003843 | PA      | $4706962.43     | 0.00%             | 2035-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C C 144A           | CUSIP: 83208DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35479000 | PA      | $34998202.78    | 0.02%             | 2055-03-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC4 M1             | CUSIP: 12667NAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12870047 | PA      | $12345443.03    | 0.01%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM10 TRUST                                                             | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM10 A1 144A            | CUSIP: 67449CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25792218 | PA      | $26111081.80    | 0.01%             | 2063-10-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.75000 09/21/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-6681228.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M3          | CUSIP: 46626LFQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16317000 | PA      | $14145546.69    | 0.01%             | 2035-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BC6907 G2 08/47 FIXED 3.5                     | CUSIP: 3617BAU84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1464669 | PA      | $1355000.35     | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A A1 144A        | CUSIP: 21056EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10465791 | PA      | $10513628.33    | 0.01%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4941667.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIM TRUST 2020-R5                                                                | CIM TRUST CIM 2020 R5 B1 144A                              | CUSIP: 12559UAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10152000 | PA      | $9829545.07     | 0.00%             | 2059-12-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW2445 FN 05/44 FIXED 4.5                        | CUSIP: 3138XRWF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62490 | PA      | $61794.58       | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A B 144A             | CUSIP: 36270YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23400000 | PA      | $23587321.68    | 0.01%             | 2029-04-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2019 RPL1 B2 144A         | CUSIP: 52473MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53302000 | PA      | $47372333.79    | 0.02%             | 2058-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                              | SPACE COAST CREDIT UNION SCCU 2023 1A A3 144A              | CUSIP: 805922AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18999205 | PA      | $19162822.72    | 0.01%             | 2028-10-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL10                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP10 B2 144A        | CUSIP: 12655BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121190116 | PA      | $112336475.50   | 0.06%             | 2057-09-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-14N                                                         | LEHMAN XS TRUST LXS 2006 14N 1A1B                          | CUSIP: 52522CAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        69245 | PA      | $69392.28       | 0.00%             | 2046-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 4A1                 | CUSIP: 46628KAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       404181 | PA      | $346393.83      | 0.00%             | 2036-05-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52955 FG 12/47 FIXED 3.5                | CUSIP: 3132XVH97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89933 | PA      | $83719.06       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3154 FN 08/44 FIXED 4                          | CUSIP: 3138WCQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34799 | PA      | $33562.36       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2015-6R                                             | GS MORTGAGE SECURITIES CORP. GSMSC 2015 6R C 144A          | CUSIP: 36248VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17907424 | PA      | $16939497.70    | 0.01%             | 2037-02-26      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITT CAP I 2003-NC2                                          | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1           | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       190637 | PA      | $203645.00      | 0.00%             | 2033-02-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                             | GSAMP TRUST GSAMP 2006 NC2 A2D                             | CUSIP: 362463AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3192720 | PA      | $1765804.51     | 0.00%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO 14A                                                            | ARES EURO CLO ARESE 14A AR 144A                            | CUSIP: ACI2RNVJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     34482811 | PA      | $40527662.66    | 0.02%             | 2034-10-21      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-1209151.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0932 FN 12/41 FIXED 3.5                        | CUSIP: 31418ABA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2096 | PA      | $1981.46        | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 03/19/12-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $2714357.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 2A1          | CUSIP: 07387VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5984317 | PA      | $5902001.86     | 0.00%             | 2037-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                            | MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 2B 144A          | CUSIP: 61759FAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2431653 | PA      | $1715076.42     | 0.00%             | 2036-07-26      | Floating      | 14.82%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004678 G2 04/40 FIXED 4.5                     | CUSIP: 36202FFT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1766 | PA      | $1777.29        | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7510 FN 07/46 FIXED 4                          | CUSIP: 3138WHKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33046 | PA      | $31799.96       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                                      | ICG US CLO LTD ICG 2021 3A AR 144A                         | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     75900000 | PA      | $75989296.35    | 0.04%             | 2034-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3641 FN 04/48 FIXED VAR                        | CUSIP: 3140J8BK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231833 | PA      | $222931.94      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 D A1B 144A         | CUSIP: 78454XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151899768 | PA      | $154736890.71   | 0.08%             | 2058-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE1                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE1 1A            | CUSIP: 933631AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27557778 | PA      | $24036023.35    | 0.01%             | 2037-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA B 144A                       | CUSIP: ACI2N0NK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     51843000 | PA      | $69756177.12    | 0.03%             | 2054-05-28      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 1 1A                      | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16422 | PA      | $15485.42       | 0.00%             | 2033-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2019 RPL1 A1 144A         | CUSIP: 52473MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89195625 | PA      | $87918289.77    | 0.04%             | 2058-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A2            | CUSIP: 75115AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4827976 | PA      | $4082634.88     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0633 FN 06/47 FIXED 3.5                        | CUSIP: 3140FKV31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6368 | PA      | $5942.49        | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4862 FN 08/31 FIXED VAR                        | CUSIP: 3140J9ML2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1120764 | PA      | $1108235.12     | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION 2006-AM1                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 AM1 A1            | CUSIP: 86359XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2895741 | PA      | $2887972.46     | 0.00%             | 2036-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/46 2.875                                | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    542700000 | PA      | $406516218.75   | 0.20%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO2                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1            | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       232456 | PA      | $198578.69      | 0.00%             | 2045-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A3                    | CUSIP: 12669GKH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4505732 | PA      | $4218766.77     | 0.00%             | 2035-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL1 B4W 144A        | CUSIP: 52474BAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273659157 | PA      | $224307327.89   | 0.11%             | 2057-12-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR2 1A2           | CUSIP: 17307G6L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       499224 | PA      | $489907.79      | 0.00%             | 2036-03-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888608 FN 05/37 FIXED VAR                        | CUSIP: 31410GGR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          870 | PA      | $916.99         | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL2 LLC                                                               | PRP ADVISORS, LLC PRPM 2025 RPL2 A1 144A                   | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21491035 | PA      | $20943763.58    | 0.01%             | 2055-04-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-MN1A                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 MN1A A1 144A      | CUSIP: 863613AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34566532 | PA      | $19902665.89    | 0.01%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-295103.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CFMT 2025-HB16 LLC                                                               | CASCADE FUNDING MORTGAGE TRUST CFMT 2025 HB16 A 144A       | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36796236 | PA      | $36051781.93    | 0.02%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2006-RM2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM2 A1A           | CUSIP: 590216AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6928911 | PA      | $1935931.42     | 0.00%             | 2037-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8881 FN 08/46 FIXED VAR                        | CUSIP: 3138ET2P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83202 | PA      | $80037.89       | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A           | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5510531 | PA      | $4633783.83     | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4869 FN 01/53 FIXED 5.5                        | CUSIP: 31418EMT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1004960 | PA      | $1018620.76     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0VAA1 PIMCO FPPSWAPTION 2.11 PUT USD                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    177300000 | NC      | $49672846.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 2 2A                 | CUSIP: 590219AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       638212 | PA      | $626066.41      | 0.00%             | 2036-05-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-453394.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG8413 FR 08/53 FIXED 6                  | CUSIP: 3133C9K28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4014113 | PA      | $4117451.45     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 923400 FN 06/37 FIXED 6.5                        | CUSIP: 31412E3H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          549 | PA      | $570.30         | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3396 FN 03/28 FIXED VAR                        | CUSIP: 3138EKX26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5974 | PA      | $5876.21        | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.5* 12/18/20-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $30795488.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5737 FN 07/29 FIXED 3                          | CUSIP: 3140F1LT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50907 | PA      | $49897.50       | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF5             | CUSIP: 75971FAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28963661 | PA      | $11395937.92    | 0.01%             | 2037-09-25      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-N1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 N1 A2 144A       | CUSIP: 14688XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7493109 | PA      | $7505371.82     | 0.00%             | 2028-05-10      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $33954.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-WF2                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 WF2 M2            | CUSIP: 83612MAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8197864 | PA      | $8186929.12     | 0.00%             | 2036-12-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3 JUMBOS                                 | CUSIP: 21H0306B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    161578190 | PA      | $144265023.93   | 0.07%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2004 2 1A1                     | CUSIP: 12669FKR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       133911 | PA      | $129852.45      | 0.00%             | 2034-02-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-43CB                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 43CB 3A1         | CUSIP: 02149FAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       302206 | PA      | $86112.06       | 0.00%             | 2037-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 A2C               | CUSIP: 61756YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14010000 | PA      | $12328276.03    | 0.01%             | 2037-07-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CMLTI 2025-RP3                                                                   | CMLTI 2025 RP3 PT 144A 10/75 3.65                          | CUSIP: 1736549Z9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433138074 | PA      | $372795143.94   | 0.18%             | 2075-10-01      | Fixed         | 3.65%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6745 FN 08/44 FIXED VAR                        | CUSIP: 3138EPP73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5299 | PA      | $5136.69        | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRAPEZA CDO LLC 2007-13A                                                         | TRAPEZA CDO LLC TRAP 2007 13A A2A 144A                     | CUSIP: 894135AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14000000 | PA      | $12285000.00    | 0.01%             | 2042-11-09      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-F                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 F A1A 144A         | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34996741 | PA      | $35517691.77    | 0.02%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2006-R1                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2006 R1 M3             | CUSIP: 03072SX67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11988000 | PA      | $11455315.62    | 0.01%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A2          | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10414994 | PA      | $6953046.99     | 0.00%             | 2037-06-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2003-3                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 3 3A4             | CUSIP: 576433EE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       251776 | PA      | $241718.73      | 0.00%             | 2033-09-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF4             | CUSIP: 759950GW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9006073 | PA      | $4275962.97     | 0.00%             | 2036-05-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2004-4                                                 | GSMPS MORTGAGE LOAN TRUST GSMPS 2004 4 1AF 144A            | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19928956 | PA      | $17954036.03    | 0.01%             | 2034-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1          | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       115198 | PA      | $40259.62       | 0.00%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $228482.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CUPRESSUS MORTGAGES HOLDCO 2022 SA RL                                            | CUPRESSUS MORTGAGES HOLDCO 10/50 1                         | CUSIP: ACI279PY3<br>LEI: 213800GH3MUFWG5P7B12 | Long             | DBT              | CORP              | LU        |      2000000 | PA      | $639421.53      | 0.00%             | 2050-10-24      | Floating      | 1.00%                 | No            |                  3 | On Loan: No      |
| BCAP LLC TRUST 2007-AA3                                                          | BCAP LLC TRUST BCAP 2007 AA3 2A1A                          | CUSIP: 05530VAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2540895 | PA      | $2330663.72     | 0.00%             | 2047-05-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET F SHARES                               | CUSIP: ACI01UGW0<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB1                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF6          | CUSIP: 1248MGAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6716745 | PA      | $1873692.98     | 0.00%             | 2037-01-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A1            | CUSIP: 32028GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2851495 | PA      | $2664382.06     | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0605 FN 08/26 FIXED VAR                        | CUSIP: 3138EGU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1164 | PA      | $1159.15        | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF7                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF7 M4             | CUSIP: 32027NLD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       581270 | PA      | $635607.33      | 0.00%             | 2034-09-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                                     | CIFI HOLDINGS GROUP COMPANY GUAR REGS 05/28 4.8            | CUSIP: ACI1XQPY8<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |      1300000 | PA      | $123500.00      | 0.00%             | 2028-05-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $544598.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-2                                           | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 2 M6             | CUSIP: 68383NBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1139292 | PA      | $1136900.12     | 0.00%             | 2035-04-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $12319851.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q44655 FG 12/46 FIXED 3                  | CUSIP: 3132WJE56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96594 | PA      | $87458.96       | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-4                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 4 CB11           | CUSIP: 9393366F5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26627 | PA      | $24582.23       | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2004-FF6                                           | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF6 M2             | CUSIP: 32027NKK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1011248 | PA      | $1017760.74     | 0.00%             | 2034-07-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A2 144A         | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2081631 | PA      | $2088112.70     | 0.00%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.40750 09/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1591330.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.42100 08/04/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1782059.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE6                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE6 A2B           | CUSIP: 59023XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21331671 | PA      | $6737638.00     | 0.00%             | 2037-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M4           | CUSIP: 76110W7G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1516000 | PA      | $1392711.45     | 0.00%             | 2035-12-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A A2 144A        | CUSIP: 210927AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166770000 | PA      | $173235272.65   | 0.09%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-HR8                                          | MORGAN STANLEY CAPITAL I TRUST MSC 2020 HR8 XB             | CUSIP: 61692BBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54413000 | PA      | $2062557.41     | 0.00%             | 2053-07-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3392 FN 01/48 FIXED VAR                        | CUSIP: 3140J7XW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       199609 | PA      | $192560.90      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                                    | ARGENT SECURITIES INC. ARSI 2006 M2 A2D                    | CUSIP: 04013BAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4075964 | PA      | $1314902.61     | 0.00%             | 2036-09-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-18                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 18 2A1                    | CUSIP: 12544JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3314600 | PA      | $1084257.11     | 0.00%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 1A            | CUSIP: 617487AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15508687 | PA      | $2454665.39     | 0.00%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY35 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $123447.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-OA3                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA3 A1            | CUSIP: 25150WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6264869 | PA      | $5877622.67     | 0.00%             | 2047-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVII LTD/PREFERRED TERM SECURITEIS XXVII INC          | PRETSL XXVII LTD SR SECURED 144A 12/37 VAR                 | CUSIP: 74042TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      2117582 | PA      | $1810533.03     | 0.00%             | 2037-12-22      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2014-5R                                             | GS MORTGAGE SECURITIES CORP. GSMSC 2014 5R 1C 144A         | CUSIP: 36248TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42424816 | PA      | $23085455.29    | 0.01%             | 2037-04-26      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL7                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL7 B2 144A        | CUSIP: 12597AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118732900 | PA      | $99343579.96    | 0.05%             | 2059-01-27      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 A1 144A      | CUSIP: 36265TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149160082 | PA      | $138677335.42   | 0.07%             | 2061-06-25      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-8CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 8CB A11          | CUSIP: 02150FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3390442 | PA      | $1375008.66     | 0.00%             | 2037-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 458403 GN 01/28 FIXED 6.49                       | CUSIP: 36208RGL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11713 | PA      | $11826.34       | 0.00%             | 2028-01-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP 2008-2R                                              | GS MORTGAGE SECURITIES CORP. GSMSC 2008 2R 2A1 144A        | CUSIP: 3622X1AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1003741 | PA      | $109725.21      | 0.00%             | 2036-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2006-1                                                          | MORTGAGEIT TRUST MHL 2006 1 2A1A                           | CUSIP: 61915RCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8618496 | PA      | $7310734.35     | 0.00%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2 DAC  24-3A                            | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 3A A 144A        | CUSIP: ACI2RRG21<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     58459970 | PA      | $68541396.52    | 0.03%             | 2034-05-15      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2007-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2007 2 2A1                | CUSIP: 59024WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3604125 | PA      | $3462519.77     | 0.00%             | 2037-06-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-10                                                   | GSAA HOME EQUITY TRUST GSAA 2007 10 A1A                    | CUSIP: 3622NDAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       523589 | PA      | $256722.83      | 0.00%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 2A3           | CUSIP: 542512AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32356473 | PA      | $11115577.75    | 0.01%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9286 FN 11/46 FIXED 4                          | CUSIP: 3140FHJ81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2611336 | PA      | $2512317.27     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 4 M1                   | CUSIP: 07386HHU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       773771 | PA      | $827082.18      | 0.00%             | 2034-06-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUNDING TR 2007-AR4                                            | BEAR STEARNS MORTGAGE FUNDING BSMF 2007 AR4 2A1            | CUSIP: 07401YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33496724 | PA      | $32365874.20    | 0.02%             | 2037-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 15 3A                     | CUSIP: 12669FG80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       525254 | PA      | $479462.38      | 0.00%             | 2034-10-20      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR2                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR2 A2A                 | CUSIP: 23332UAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1493337 | PA      | $1403570.96     | 0.00%             | 2044-11-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-99                                                        | FANNIE MAE FNR 2011 99 DZ                                  | CUSIP: 3136A1KK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10617980 | PA      | $10820613.88    | 0.01%             | 2041-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A2 144A         | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6490897 | PA      | $6525562.45     | 0.00%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A C 144A          | CUSIP: 83407UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7392000 | PA      | $7587618.12     | 0.00%             | 2034-03-27      | Fixed         | 5.77%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0160 FN 11/46 FIXED 3.5                        | CUSIP: 3140FKFA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6661 | PA      | $6215.33        | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 633864 FN 03/32 FIXED 6.5                        | CUSIP: 31389SFD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          392 | PA      | $405.04         | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7855 FN 04/46 FIXED 4                          | CUSIP: 3140F3WR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       149677 | PA      | $144280.06      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH0868 G2 05/48 FIXED 4                       | CUSIP: 3617GW6D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       620136 | PA      | $586351.89      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $159735.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $19892.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $77995.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE HOLDINGS LLC                                                         | BRIGHTHOUSE HLDGS LLC JR SUBORDINA 144A VAR                | CUSIP: 10924BAA5<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      5245000 | NS      | $4654937.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.41000 08/04/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $4269190.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2010-1RA                                           | NOMURA RESECURITIZATION TRUST NMRR 2010 1RA A2 144A        | CUSIP: 65539BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14300773 | PA      | $5247622.98     | 0.00%             | 2037-07-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-1                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2006 1 M4              | CUSIP: 9497EUAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3365751 | PA      | $3361752.45     | 0.00%             | 2036-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6165 FN 01/48 FIXED 3.5                        | CUSIP: 3140H7Z75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       172337 | PA      | $159544.54      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.50000 06/17/20-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1308903699.84  | 0.65%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3197 FR 05/53 FIXED 5                  | CUSIP: 3133C3RS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1275710 | PA      | $1273691.49     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003401 G2 06/33 FIXED 4.5                     | CUSIP: 36202DX63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1682 | PA      | $1696.43        | 0.00%             | 2033-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A1           | CUSIP: 93364FAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30019034 | PA      | $27568502.31    | 0.01%             | 2037-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| AVOCA STATIC CLO I DAC 1A                                                        | AVOCA STATIC CLO AVOST 1A BR 144A                          | CUSIP: ACI2S1QG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     13500000 | PA      | $15871003.36    | 0.01%             | 2035-01-15      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5016 FN 05/45 FIXED 4                          | CUSIP: 3138WESE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21719 | PA      | $20935.66       | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1248 FR 05/52 FIXED 4                  | CUSIP: 3133BAL58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8299155 | PA      | $7836714.73     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-2                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2007 2 A2C                  | CUSIP: 66989EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25036150 | PA      | $24033682.96    | 0.01%             | 2037-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 13 2A5                    | CUSIP: 12669FK44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123380 | PA      | $121560.32      | 0.00%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-11                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 11 MV5             | CUSIP: 126670DE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6000000 | PA      | $5456445.00     | 0.00%             | 2036-02-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 882305 FN 07/36 FIXED 6                          | CUSIP: 31409YGN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4791 | PA      | $4945.78        | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A3          | CUSIP: 073888AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3102878 | PA      | $924325.84      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH4474 G2 07/48 FIXED 4                       | CUSIP: 3617H16K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1301907 | PA      | $1233397.39     | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD 2020-25A                                                       | MAGNETITE CLO LTD MAGNE 2020 25A A 144A                    | CUSIP: 55955GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7546088 | PA      | $7562321.71     | 0.00%             | 2032-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU5528 FN 01/55 FIXED 7                          | CUSIP: 3140M7EA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8564308 | PA      | $8984495.05     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S4                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S4 A5            | CUSIP: 466302AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36179134 | PA      | $31300204.48    | 0.02%             | 2036-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1B 144A            | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185900000 | PA      | $187277426.05   | 0.09%             | 2055-05-17      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2014-11R                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 11R 9A2 144A        | CUSIP: 12649FCL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1908917 | PA      | $1508347.53     | 0.00%             | 2036-10-27      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2007-FS1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 FS1 1A1 144A      | CUSIP: 17313EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11526747 | PA      | $11165909.89    | 0.01%             | 2037-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF4                                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF4 M4             | CUSIP: 32027NRF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3366188 | PA      | $3364320.80     | 0.00%             | 2035-05-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A9          | CUSIP: 02149VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2019312 | PA      | $880876.09      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1773 FN 11/25 FIXED 3                          | CUSIP: 31416W6K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          943 | PA      | $939.71         | 0.00%             | 2025-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8021 FR 12/34 FIXED 3                  | CUSIP: 3132D54E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1961951 | PA      | $1902371.87     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO110626                                 | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 141108500000 | PA      | $83720704.08    | 0.04%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3467 FN 10/44 FIXED 4                          | CUSIP: 3138WCZ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3039 | PA      | $2931.47        | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A5          | CUSIP: 12667GLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       910876 | PA      | $685115.58      | 0.00%             | 2035-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5124 FN 02/53 FIXED 5.5                        | CUSIP: 3140MWVS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3862965 | PA      | $3914820.23     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A2          | CUSIP: 93934XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11599280 | PA      | $4079652.36     | 0.00%             | 2036-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 M2 144A        | CUSIP: 12662NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28457250 | PA      | $19996943.72    | 0.01%             | 2061-05-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A         | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192824947 | PA      | $188726086.29   | 0.09%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                          | CHASEFLEX TRUST CFLX 2007 M1 1A3                           | CUSIP: 16165YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3409544 | PA      | $3048756.23     | 0.00%             | 2037-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A3                                         | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A3 1A5            | CUSIP: 17309KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       188286 | PA      | $166008.29      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8862 FN 02/47 FIXED 3.5                        | CUSIP: 3138WJZ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60460 | PA      | $56528.90       | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55277 FG 04/48 FIXED 3.5                | CUSIP: 3132XX2K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1685571 | PA      | $1562552.32     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                                | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR                 | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |     10600000 | PA      | $10604240.00    | 0.01%             | 2032-04-08      | Floating      | 11.71%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7129 FN 02/47 FIXED 4                          | CUSIP: 3140FS4P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2481977 | PA      | $2375924.11     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR11 2A1          | CUSIP: 45669FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3960514 | PA      | $2269674.44     | 0.00%             | 2037-06-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A A2 144A        | CUSIP: 21055PAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166760000 | PA      | $173184062.13   | 0.09%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-35320.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3458 FN 01/50 FIXED VAR                        | CUSIP: 3140X6ZY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     88447937 | PA      | $79080624.46    | 0.04%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8333 FR 06/53 FIXED 6.5                | CUSIP: 3132DWHJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75876 | PA      | $78664.42       | 0.00%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2212 FN 12/45 FIXED 4                          | CUSIP: 3140E6N65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       574606 | PA      | $558747.90      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $1639976.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 3A5             | CUSIP: 86361JAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5713822 | PA      | $5270990.66     | 0.00%             | 2036-09-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BF9484 G2 04/48 FIXED 4                       | CUSIP: 3617GGRD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5850718 | PA      | $5535631.03     | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.48100 10/29/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2175984.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 2A1           | CUSIP: 74923HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       153558 | PA      | $28507.77       | 0.00%             | 2037-03-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ7731 FN 03/49 FIXED 4.5                        | CUSIP: 3140H9SV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       140002 | PA      | $137936.79      | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN4960 FR 04/49 FIXED 4.5                | CUSIP: 3131YBQM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85117 | PA      | $83896.20       | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-8                                                    | COUNTRYWIDE HOME LOANS CWHL 2004 8 1A5                     | CUSIP: 12669FZM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       106526 | PA      | $106604.06      | 0.00%             | 2034-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2024-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2024 A A3 144A         | CUSIP: 70687FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28600000 | PA      | $28791617.14    | 0.01%             | 2029-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.0* 9/28/23-29Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $25609762.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-193387.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $180188.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5449 FR 05/48 FIXED 3.5                | CUSIP: 31329PBS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       140087 | PA      | $129732.04      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC. CORP 2002-AR28                                         | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR28 2A3          | CUSIP: 22541NNR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       140955 | PA      | $135788.37      | 0.00%             | 2032-11-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-6                                                   | HOME EQUITY ASSET TRUST HEAT 2005 6 M5                     | CUSIP: 437084NG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2810000 | PA      | $2730608.23     | 0.00%             | 2035-12-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $3258717.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 X 144A        | CUSIP: 17329AAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    641807224 | PA      | $23672096.75    | 0.01%             | 2060-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2006 FN 01/48 FIXED VAR                        | CUSIP: 3140J6GQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6307130 | PA      | $6066601.86     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 7A1             | CUSIP: 576433B21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1086 | PA      | $1006.41        | 0.00%             | 2035-06-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB2                                          | DEUTSCHE ALT B SECURITIES INC DBALT 2006 AB2 A8            | CUSIP: 251511AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5403300 | PA      | $5014719.04     | 0.00%             | 2036-06-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0966 FN 11/47 FIXED 3.5                        | CUSIP: 3140H2CC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       549463 | PA      | $509023.65      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.18249 04/04/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-28322014.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3239 FN 01/48 FIXED 4                          | CUSIP: 31418CS54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4290558 | PA      | $4125814.07     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20251007                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $30108.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.2* 06/16/21-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1695983848.25  | 0.84%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 02/28 VAR        | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |       342000 | PA      | $335807.51      | 0.00%             | 2028-02-16      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 3A1                 | CUSIP: 46628LAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        97394 | PA      | $64171.18       | 0.00%             | 2036-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| INTERNET BRANDS INC (MH SUB I LLC)                                               | MH SUB I LLC 2023 TERM LOAN                                | CUSIP: 45567YAN5<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |      1659380 | PA      | $1600264.58     | 0.00%             | 2028-05-03      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8156 FN 02/47 FIXED 4                          | CUSIP: 3140FUB23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68060 | PA      | $64749.56       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY7622 FN 07/53 FIXED 6                          | CUSIP: 3140NQPG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       307685 | PA      | $315032.33      | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-5                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 5 M2             | CUSIP: 68389FJZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2157146 | PA      | $2111068.50     | 0.00%             | 2035-12-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $50638.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4382 G2 04/47 FIXED 3.5                     | CUSIP: 36179S2P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       189830 | PA      | $174883.50      | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER?CRE                                     | CUSIP: ACI2QBKX4<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     11774736 | PA      | $13390792.95    | 0.01%             | 2027-03-01      | Fixed         | 6.76%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-8723668.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2005-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF2 AF7           | CUSIP: 17307GVN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13347 | PA      | $12397.93       | 0.00%             | 2035-08-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3061 FN 07/27 FIXED 3                          | CUSIP: 31418CMK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       133886 | PA      | $132572.09      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6179 FN 02/53 FIXED 5                          | CUSIP: 3140NA2M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12948742 | PA      | $12914962.04    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR14 2A3          | CUSIP: 93363PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       359248 | PA      | $315545.75      | 0.00%             | 2036-11-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 6A1            | CUSIP: 007036TP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       341398 | PA      | $322894.74      | 0.00%             | 2036-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL AZ6892 G2 05/47 FIXED 3.5                     | CUSIP: 36197KUR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       736202 | PA      | $681077.65      | 0.00%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2C           | CUSIP: 17310VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6083520 | PA      | $4162146.05     | 0.00%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H02 FJ             | CUSIP: 38375UYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1738232 | PA      | $1747557.41     | 0.00%             | 2067-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0791 FN 04/46 FIXED 3.5                        | CUSIP: 3140EU2Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       188774 | PA      | $177104.78      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1             | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20951 | PA      | $21197.01       | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $51832.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9277 FN 05/43 FIXED 4                          | CUSIP: 31417GJX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       554549 | PA      | $539146.20      | 0.00%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3796 FN 10/29 FIXED 3                          | CUSIP: 31418DGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       176054 | PA      | $173633.68      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2C               | CUSIP: 61755AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11845656 | PA      | $9173325.42     | 0.00%             | 2037-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q62356 FG 03/49 FIXED 3.5                | CUSIP: 3132VNTN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3310411 | PA      | $3067213.60     | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP3 SA 144A       | CUSIP: 173112AR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       222808 | PA      | $220616.94      | 0.00%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4702 FN 11/53 FIXED 6.5                        | CUSIP: 3140A5GL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       269726 | PA      | $279366.27      | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-79CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 79CB A5          | CUSIP: 12668BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       126953 | PA      | $69088.05       | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4                                     | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 4 1A1             | CUSIP: 576433EQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7603 | PA      | $7558.28        | 0.00%             | 2033-09-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZJ0722 FR 11/40 FIXED 4                  | CUSIP: 3131WQYT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55860 | PA      | $54532.07       | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ0113 FR 07/54 FIXED 7                  | CUSIP: 3133CQDS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70000 | PA      | $73719.10       | 0.00%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)DEC25 XCBT 20251219                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       293700 | NC      | $153259545.69   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 AR2 2A1                   | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       639049 | PA      | $382814.06      | 0.00%             | 2036-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-24CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 24CB 1A1         | CUSIP: 12667FVN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5795176 | PA      | $6025956.33     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.26 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-1768673.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/34 VAR                   | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    111300000 | PA      | $119094166.49   | 0.06%             | 2034-01-12      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 M3 144A        | CUSIP: 12660QAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18350200 | PA      | $15724135.91    | 0.01%             | 2061-02-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                                 | WESTMORELAND COAL CO PIK TERM LOAN                         | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4351037 | PA      | $1762170.05     | 0.00%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECU 2005-TC1                                          | BEAR STEARNS ASSET BACKED SECU BSABS 2005 TC1 M3           | CUSIP: 073879VH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       470653 | PA      | $470587.92      | 0.00%             | 2035-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2018-A                                                    | SOFI ALTERNATIVE TRUST SAT 2018 A P1 144A                  | CUSIP: 834012AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54806985 | PA      | $52605612.66    | 0.03%             | 2050-05-16      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA3                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA3 A2            | CUSIP: 75114RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15761903 | PA      | $14064335.07    | 0.01%             | 2036-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-853.14        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                                     | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                   | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |     51000000 | PA      | $59876583.79    | 0.03%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| GREENPOINT MANUFACTURED HOUSING 2000-3                                           | GREENPOINT MANUFACTURED HOUSIN GPMH 2000 3 IIA2            | CUSIP: 395386BE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3532500 | PA      | $3502736.21     | 0.00%             | 2031-06-08      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                                  | GAZPROM (GAZ CAPITAL SA) SR UNSECURED REGS 03/27 4.95      | CUSIP: ACI0T5G05<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     24600000 | PA      | $21525000.00    | 0.01%             | 2027-03-23      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $3319010.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/32 5.9              | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     20000000 | PA      | $20924248.00    | 0.01%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AX66 CREDIT SUISSE GROUP AG          | CUSIP: 952NPJ000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      4600000 | PA      | $598000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 1A5          | CUSIP: 12667F2L8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1349343 | PA      | $1279253.56     | 0.00%             | 2035-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8498 FR 12/54 FIXED 7                  | CUSIP: 3132DWNP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28184217 | PA      | $29493939.85    | 0.01%             | 2054-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $662108.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B C 144A           | CUSIP: 78449HAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19950000 | PA      | $20572408.08    | 0.01%             | 2056-10-16      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2004-6                                               | MASTR ASSET SECURITIZATION TRU MASTR 2004 6 2A13           | CUSIP: 57643MDA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6323 | PA      | $6299.73        | 0.00%             | 2034-06-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A BV 144A       | CUSIP: 03332AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1940984.00     | 0.00%             | 2038-04-25      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZL2322 FR 11/41 FIXED 5                  | CUSIP: 3131XHSK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3217 | PA      | $3208.36        | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251010                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $931.58         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A11           | CUSIP: 86361HAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3501630 | PA      | $2582878.24     | 0.00%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-1                                     | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 1 2A2             | CUSIP: 576433DC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       265152 | PA      | $253812.82      | 0.00%             | 2032-12-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7443 FN 10/45 FIXED VAR                        | CUSIP: 3138EQHV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18336 | PA      | $17782.07       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-2323.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2006-2                                                   | BNC MORTGAGE LOAN TRUST BNCMT 2006 2 A5                    | CUSIP: 055683AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40973000 | PA      | $21845672.75    | 0.01%             | 2036-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2004-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2004 1 M3                   | CUSIP: 66987XEC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       145784 | PA      | $142904.02      | 0.00%             | 2034-06-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-85CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 85CB 1A1         | CUSIP: 12668BEE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18392602 | PA      | $7008635.08     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN5324 FN 03/49 FIXED 4                          | CUSIP: 3140JM4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33899 | PA      | $32546.74       | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                              | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A1                | CUSIP: 61750FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40447979 | PA      | $18007298.46    | 0.01%             | 2036-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-1574096.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                       | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL            | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2409652 | PA      | $1959854.61     | 0.00%             | 2027-06-30      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 961809 FN 02/38 FIXED 6                          | CUSIP: 31414CAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1832 | PA      | $1925.67        | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20300516                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $1506786.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 37 LTD                                                              | SYMPHONY CLO LTD SYMP 2022 37A A1AR 144A                   | CUSIP: 87169VAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     21325000 | PA      | $21418830.00    | 0.01%             | 2037-01-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08750 FG 03/47 FIXED 3                  | CUSIP: 3128MJZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59926033 | PA      | $54258546.61    | 0.03%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC9630 FN 01/55 FIXED 6.5                        | CUSIP: 3140AXVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2999702 | PA      | $3114156.64     | 0.00%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1068 FN 04/48 FIXED VAR                        | CUSIP: 3140X4FJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19670518 | PA      | $18921740.39    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL4 A1 144A      | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20373163 | PA      | $19949894.45    | 0.01%             | 2061-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-9045942.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP BOA                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $79864.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3138 FN 11/47 FIXED 3.5                        | CUSIP: 3140H4PY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78237 | PA      | $73341.82       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S3                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S3 A8             | CUSIP: 76111XP64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       242135 | PA      | $198212.36      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR -0.32900 03/09/21-5Y* LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $325020.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A3              | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7100000 | PA      | $7187655.18     | 0.00%             | 2028-11-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC3 M1                | CUSIP: 61744CZE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7149793 | PA      | $6175248.24     | 0.00%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                       | CDW LLC/CDW FINANCE COMPANY GUAR 12/28 3.276               | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     16500000 | PA      | $15951167.93    | 0.01%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7038 FN 04/46 FIXED 4.5                        | CUSIP: 3138WGZC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13026 | PA      | $12893.04       | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AURA A 144A       | CUSIP: 95004VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54900000 | PA      | $54762750.00    | 0.03%             | 2042-10-15      | Floating      | 5.69%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8214 FN 03/29 FIXED VAR                        | CUSIP: 3138ETDU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          587 | PA      | $584.57         | 0.00%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3620 FN 01/48 FIXED 4                          | CUSIP: 3140H5AW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2800210 | PA      | $2698647.04     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725851 FN 07/34 FIXED VAR                        | CUSIP: 31402DL81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7737 | PA      | $7757.61        | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3772 FN 09/39 FIXED 3.5                        | CUSIP: 31418DFN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       380384 | PA      | $365376.13      | 0.00%             | 2039-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-NQM1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 NQM1 SA 144A      | CUSIP: 36272FAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          851 | PA      | $850.91         | 0.00%             | 2064-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2799 FN 01/48 FIXED 3.5                        | CUSIP: 3140FNDD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       453047 | PA      | $417499.39      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ5633 FN 07/45 FIXED 3.5                        | CUSIP: 3138YXHK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103228 | PA      | $97809.17       | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A2 144A       | CUSIP: 16678RDL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       147003 | PA      | $141172.43      | 0.00%             | 2036-05-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.22000 10/20/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4368424.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                                | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA B 144A              | CUSIP: 647622AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14615243 | PA      | $14439582.39    | 0.01%             | 2032-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5271 FN 08/47 FIXED 4                          | CUSIP: 3140GT2D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84149 | PA      | $80534.14       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4732 FR 08/47 FIXED 4.5                | CUSIP: 3132A5HH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2759 | PA      | $2726.28        | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH3088 FN 05/47 FIXED 4                          | CUSIP: 3140GRNE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       412273 | PA      | $396507.28      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                         | SOFTBANK VISION FUND II TRANCHE B1 TERM LOAN               | CUSIP: BA000KP88<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    784763932 | PA      | $784763932.12   | 0.39%             | 2029-12-23      | Floating      | 7.65%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8300 FR 02/53 FIXED 5.5                | CUSIP: 3132DWGH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67973151 | PA      | $68808930.23    | 0.03%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N2 E 144A        | CUSIP: 14686KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4426687 | PA      | $4334300.11     | 0.00%             | 2028-03-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2355 FN 03/26 FIXED 3.5                        | CUSIP: 31416XTM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1457 | PA      | $1450.50        | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A5            | CUSIP: 93935BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1876688 | PA      | $395459.69      | 0.00%             | 2036-07-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08813 FG 05/48 FIXED 3.5                | CUSIP: 3128MJ3X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53219 | PA      | $49506.28       | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83953 FG 03/48 FIXED 3.5                | CUSIP: 3132L9MA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       684185 | PA      | $635667.15      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3              | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15256417 | PA      | $14687323.76    | 0.01%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2007 AR1 4A1                   | CUSIP: 362290AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124679 | PA      | $106046.36      | 0.00%             | 2037-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                                     | ACE SECURITIES CORP. ACE 2007 HE2 A2A                      | CUSIP: 00443PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2086271 | PA      | $1104362.37     | 0.00%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/8.99000 12/24/24-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $3035286.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-33CB                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 33CB 2A1         | CUSIP: 02148BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3861778 | PA      | $1970708.73     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/27 VAR                  | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     10100000 | PA      | $11333210.00    | 0.01%             | 2027-06-06      | Floating      | 29.46%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2279 FN 05/45 FIXED 4                          | CUSIP: 31418BQ90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82538 | PA      | $79511.14       | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2390 FN 08/44 FIXED 4                          | CUSIP: 3138Y3UQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37268 | PA      | $36151.11       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                | VENTURE GLOBAL CALCASIEU SR SECURED 144A 08/31 4.125       | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     10300000 | PA      | $9728587.93     | 0.00%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY6                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY6 2A1                   | CUSIP: 17025MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9249797 | PA      | $8337058.38     | 0.00%             | 2037-11-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 B 144A         | CUSIP: 12662NAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42195605 | PA      | $20189761.52    | 0.01%             | 2061-05-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5416 FR 01/53 FIXED 6                  | CUSIP: 3133BTAR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42278 | PA      | $43425.01       | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLT 2021-RPL1 MORTGAGE LOAN TRUST                                               | COLT FUNDING LLC COLT 2021 RPL1 A1 144A                    | CUSIP: 12598PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21839191 | PA      | $20135424.31    | 0.01%             | 2061-09-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.93000 03/24/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5259914.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7144 FR 02/53 FIXED 5.5                | CUSIP: 3133BU5D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       445441 | PA      | $451081.78      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8643 FN 11/25 FIXED 3.5                        | CUSIP: 31419KS97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          101 | PA      | $100.65         | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRPL-2024-RPL1                                                                   | NRPL TRUST SERIES NRPL 2024 RPL1 PT 144A                   | CUSIP: 62956EAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178925761 | PA      | $160018621.98   | 0.08%             | 2063-11-25      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-15AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 15AR 5A1           | CUSIP: 61756XBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3354275 | PA      | $2156662.35     | 0.00%             | 2037-12-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR             | CUSIP: 903724CG5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      2554552 | PA      | $1242789.55     | 0.00%             | 2036-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 B2 144A         | CUSIP: 52473LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133365242 | PA      | $97688572.75    | 0.05%             | 2056-12-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2003-K                                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 K 1A2            | CUSIP: 05948XZC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        58460 | PA      | $58258.85       | 0.00%             | 2033-12-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90000 08/30/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $5811535.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AFC HOME EQUITY LOAN TRUST 1997-3                                                | AFC HOME EQUITY LOAN TRUST AFC 1997 3 2A                   | CUSIP: 00105HDC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6477 | PA      | $6478.37        | 0.00%             | 2027-09-27      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2273 FN 02/47 FIXED 4                          | CUSIP: 3140FMQ33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179511 | PA      | $172681.70      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA B 144A         | CUSIP: 21050UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16779000 | PA      | $17061340.23    | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6273 FN 11/46 FIXED 3.5                        | CUSIP: 3140FD6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       215650 | PA      | $201081.15      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2003-9A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 9A 1A1            | CUSIP: 86359ARC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       455782 | PA      | $409538.86      | 0.00%             | 2033-03-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP MYC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1.14           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC1                                           | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC1 A            | CUSIP: 585525FN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30342 | PA      | $22339.04       | 0.00%             | 2030-09-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0612 FN 11/43 FIXED 4.5                        | CUSIP: 3138XBVE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11645 | PA      | $11622.05       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3394 FN 05/28 FIXED 3                          | CUSIP: 31418CXY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141365 | PA      | $139556.24      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY12                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY12 A5          | CUSIP: 02146PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       263422 | PA      | $247028.40      | 0.00%             | 2036-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3135                                                                 | FREDDIE MAC FHR 3135 CS                                    | CUSIP: 31396N2X3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1349 | PA      | $2.44           | 0.00%             | 2026-04-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-RP3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP3 SA 144A       | CUSIP: 17291MAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       145513 | PA      | $144270.15      | 0.00%             | 2062-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6289 FR 02/39 FIXED 4                  | CUSIP: 31329P7A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       225326 | PA      | $221754.97      | 0.00%             | 2039-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A ER 144A                          | CUSIP: ACI1747N0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     24059000 | PA      | $27351071.32    | 0.01%             | 2054-10-29      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-WL2                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL2 2A4          | CUSIP: 542514SD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24532682 | PA      | $23119503.67    | 0.01%             | 2036-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-2XS                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 2XS M2            | CUSIP: 86359B2L4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       234050 | PA      | $215979.78      | 0.00%             | 2035-02-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2D               | CUSIP: 61755AAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9523638 | PA      | $7374642.30     | 0.00%             | 2037-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3324 FN 10/46 FIXED 3.5                        | CUSIP: 3140FAVS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       843613 | PA      | $788932.21      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL5                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL5 B3 144A        | CUSIP: 12655JAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143653035 | PA      | $74779118.89    | 0.04%             | 2076-11-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| VEROS AUTO RECEIVABLES TRUST 2024-1                                              | VEROS AUTO RECEIVABLES TRUST VEROS 2024 1 A 144A           | CUSIP: 92512WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2821195 | PA      | $2832697.19     | 0.00%             | 2027-11-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                                      | WATR ISSUER TRUST WATR 2025 1 A 144A                       | CUSIP: 942611AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74763958 | PA      | $74951832.84    | 0.04%             | 2050-06-17      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2007-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 2A4              | CUSIP: 65106FAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14485000 | PA      | $13615756.60    | 0.01%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 2A4             | CUSIP: 12667TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11273843 | PA      | $10927891.62    | 0.01%             | 2047-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR1                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR1 4A           | CUSIP: 76112BKP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        64425 | PA      | $64990.04       | 0.00%             | 2035-03-18      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY37 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $13203012.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP2                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP2 PT 144A         | CUSIP: 12654QBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496621886 | PA      | $495271918.23   | 0.24%             | 2050-06-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-40601.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A1           | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2144213 | PA      | $1641411.26     | 0.00%             | 2045-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                              | SAXON ASSET SECURITIES TRUST SAST 2005 3 M4                | CUSIP: 805564SV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $3613539.20     | 0.00%             | 2035-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $327339.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AA.06-2 SP ULO                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-3279362.03    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-15                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 15 MV5             | CUSIP: 126673UR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       533370 | PA      | $526467.59      | 0.00%             | 2035-04-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH1 A1C          | CUSIP: 02150KAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9763855 | PA      | $8590838.42     | 0.00%             | 2047-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251124                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $90387.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H19                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H19 FA             | CUSIP: 38376RZN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1799012 | PA      | $1803290.35     | 0.00%             | 2066-09-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 03/28 VAR                   | CUSIP: 639057AM0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     24300000 | PA      | $24471338.57    | 0.01%             | 2028-03-01      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2006-1X                                                      | LUDGATE FUNDING PLC LGATE 2006 1X A2A REGS                 | CUSIP: ACI00QMR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      4999330 | PA      | $6622776.75     | 0.00%             | 2060-12-01      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE6                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE6 A2A           | CUSIP: 59023XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5678395 | PA      | $1784974.41     | 0.00%             | 2037-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI6584 FN 07/26 FIXED 3                          | CUSIP: 3138ALJ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9131 | PA      | $9062.52        | 0.00%             | 2026-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.00000 01/03/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1392237.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A A1 144A        | CUSIP: 21055PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32992791 | PA      | $33134366.55    | 0.02%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/50 3.5              | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     24300000 | PA      | $16603382.03    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7795 FN 08/46 FIXED 4                          | CUSIP: 3138WHUV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10093 | PA      | $9712.71        | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90000 04/15/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1129257.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NRPLM 2024-RPL2                                                                  | NRPLM TRUST SERIES NRPLM 2024 RPL2 CERT 144A               | CUSIP: 669978AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6816092 | PA      | $5478962.47     | 0.00%             | 2063-09-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ1 A4            | CUSIP: 83612JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19160066 | PA      | $18443678.98    | 0.01%             | 2036-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| VCAT 2025-NPL1 LLC                                                               | VCAT ASSET SECURITIZATION, LLC VCAT 2025 NPL1 A1 144A      | CUSIP: 921962AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24046544 | PA      | $24116048.47    | 0.01%             | 2055-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC5 A1           | CUSIP: 073856AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1208194 | PA      | $1227586.61     | 0.00%             | 2036-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8700 FN 01/47 FIXED 4.5                        | CUSIP: 3138WJU22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3916 | PA      | $3880.55        | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251117                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $74225.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-264873.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM2885 FR 03/47 FIXED 4.5                | CUSIP: 3131XWF24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20147 | PA      | $19733.41       | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $796299.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 14A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 14A A2 144A             | CUSIP: 014498AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2255000 | PA      | $1849100.00     | 0.00%             | 2037-09-23      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/45 2.875                                | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    858035000 | PA      | $652223910.55   | 0.32%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A88                | CUSIP: 46631NDR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13377803 | PA      | $5686455.98     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                                   | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS               | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       209445 | PA      | $280979.38      | 0.00%             | 2044-06-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8798 G2 04/53 FIXED 4                       | CUSIP: 36179XX35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37109090 | PA      | $35210016.55    | 0.02%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4005 FN 04/30 FIXED 2                          | CUSIP: 31418DNX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32858 | PA      | $31684.15       | 0.00%             | 2030-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.70000 08/13/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-1242743.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2007-3XS                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 3XS 1A2A           | CUSIP: 61752RAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        88521 | PA      | $83934.67       | 0.00%             | 2047-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2959 FN 01/47 FIXED 4                          | CUSIP: 3140FNJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2758815 | PA      | $2646917.08     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL1                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL1 A1 144A      | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3754396 | PA      | $3649411.48     | 0.00%             | 2069-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2007-117                                                              | FANNIE MAE FNR 2007 117 SG                                 | CUSIP: 31396YAW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1093442 | PA      | $102072.85      | 0.00%             | 2038-01-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4037 FN 02/48 FIXED 3.5                        | CUSIP: 3140H5PX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       286356 | PA      | $266797.98      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-11                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 11 3AV3            | CUSIP: 12666TAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9868804 | PA      | $9486831.82     | 0.00%             | 2046-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL12                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP12 SA 144A        | CUSIP: 12655FAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       249843 | PA      | $247117.88      | 0.00%             | 2060-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LYRA MUSIC ASSETS DELAWARE LP 2024-2A                                            | LYRA MUSIC ASSETS (DELAWARE) L LYRA 2024 2A A2 144A        | CUSIP: 552339AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103451523 | PA      | $105049683.58   | 0.05%             | 2064-12-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2006-1                                                   | HOME EQUITY ASSET TRUST HEAT 2006 1 M3                     | CUSIP: 437084RZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13095428 | PA      | $12959036.36    | 0.01%             | 2036-04-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA BPCE SA                                            | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     34200000 | PA      | $35380815.53    | 0.02%             | 2030-01-18      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 11A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 11A A2 144A             | CUSIP: 01450AAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6519323 | PA      | $6062970.49     | 0.00%             | 2036-12-23      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7764 FN 09/46 FIXED 3.5                        | CUSIP: 3140FFTW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18970 | PA      | $17789.47       | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-7                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 7 3A1             | CUSIP: 576433D52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       727253 | PA      | $436956.91      | 0.00%             | 2035-09-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-3319732.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.25000 06/15/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6385242.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5021 FR 10/39 FIXED 2.5                | CUSIP: 3133KYSJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       266263 | PA      | $243479.83      | 0.00%             | 2039-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6671 FN 02/46 FIXED 4                          | CUSIP: 3138WGMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1259476 | PA      | $1212238.62     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                          | MANHATTAN WEST OMW 2020 1MW X 144A                         | CUSIP: 563136AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    807900000 | PA      | $2561285.37     | 0.00%             | 2039-09-10      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1            | CUSIP: 25151WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20536980 | PA      | $14535148.55    | 0.01%             | 2037-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF12                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF12 A1            | CUSIP: 32027GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4949858 | PA      | $4732919.11     | 0.00%             | 2036-09-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                       | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A               | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28597182 | PA      | $28958141.66    | 0.01%             | 2037-10-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-1A                                        | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 1A A3 144A        | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27306246 | PA      | $27555384.98    | 0.01%             | 2028-10-16      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745316 FN 02/26 FIXED VAR                        | CUSIP: 31403DAR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           53 | PA      | $54.42          | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-AC5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AC5 1A4          | CUSIP: 073879ZZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2506762 | PA      | $1457208.79     | 0.00%             | 2035-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBK SEC INC 2005-H                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE1 M4           | CUSIP: 073879PU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3536522 | PA      | $3611797.89     | 0.00%             | 2035-01-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 4.214    | CUSIP: 38122ND66<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     26895000 | PA      | $19960675.60    | 0.01%             | 2050-06-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 1 2A                      | CUSIP: 81743PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       126121 | PA      | $123892.34      | 0.00%             | 2033-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2522 G2 01/45 FIXED 4                       | CUSIP: 36179QYT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5038386 | PA      | $4848153.95     | 0.00%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 1A3          | CUSIP: 74924VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6270794 | PA      | $5882228.56     | 0.00%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 1A           | CUSIP: 93363QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5022510 | PA      | $4310426.89     | 0.00%             | 2046-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3952 FN 07/50 FIXED VAR                        | CUSIP: 3140X7MA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    156376794 | PA      | $139766345.04   | 0.07%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260629                                 | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 310110161000 | PA      | $182331443.28   | 0.09%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS3                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS3 M6            | CUSIP: 76112BLN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7313000 | PA      | $7309535.10     | 0.00%             | 2035-03-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM7570 FN 04/33 FIXED VAR                        | CUSIP: 3140XBMU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40157 | PA      | $39542.94       | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSWF 2021-SOP2                                                                   | CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A       | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       172647 | PA      | $167729.88      | 0.00%             | 2034-06-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A              | CUSIP: ACI0Y9KH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     23010000 | PA      | $30992555.98    | 0.02%             | 2049-12-21      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXXII LTD                                                           | SYMPHONY CLO LTD SYMP 2022 32A AR 144A                     | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     58900000 | PA      | $59140077.58    | 0.03%             | 2035-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2019 4A A1RR 144A       | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     63700000 | PA      | $63926228.64    | 0.03%             | 2035-04-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINANCE PLC                                                  | MITCHELLS + BUTLERS FINA SECURED REGS 12/30 6.013          | CUSIP: 337792II8<br>LEI: 213800E7QA1U8BF34219 | Long             | DBT              | CORP              | GB        |      3402639 | PA      | $4605949.53     | 0.00%             | 2030-12-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9489 FN 04/47 FIXED 4                          | CUSIP: 3138WKRK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7069778 | PA      | $6800529.36     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 3A6           | CUSIP: 74923HAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5109934 | PA      | $4418875.50     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $92595.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $12528.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2007-1                                                       | LUDGATE FUNDING PLC LGATE 2007 1 A2A REGS                  | CUSIP: 994JTTII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     13321684 | PA      | $17450870.53    | 0.01%             | 2061-01-01      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC          | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     11573000 | PA      | $12086726.74    | 0.01%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8515 FN 03/53 FIXED 5.5                        | CUSIP: 3140NDN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5781576 | PA      | $5855753.64     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889574 FN 08/37 FIXED VAR                        | CUSIP: 31410KJT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       374606 | PA      | $394950.48      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897213 FN 08/36 FIXED 6                          | CUSIP: 31410TYJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1314 | PA      | $1361.02        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4347 FN 06/27 FIXED 3                          | CUSIP: 3138E8ZM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10559 | PA      | $10418.62       | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A E 144A              | CUSIP: ACI2PHLV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11272462 | PA      | $15282011.62    | 0.01%             | 2048-06-20      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-238516.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR2                                                          | BCAP LLC TRUST BCAP 2011 RR2 1A4 144A                      | CUSIP: 05533TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8489465 | PA      | $3619836.36     | 0.00%             | 2036-07-26      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A3 144A       | CUSIP: 14687VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18900000 | PA      | $19013333.85    | 0.01%             | 2028-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INV LOAN TRUST 2003-BC4                                         | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC4 M2            | CUSIP: 86358EBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2235360 | PA      | $2290201.46     | 0.00%             | 2033-06-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| MMCAPS FUNDING XVIII LTD                                                         | MMCAPS FUND XVIII LTD SECURED 144A 12/39 VAR               | CUSIP: 60688HAC9<br>LEI: 549300ZF6EZYDGUCIW80 | Long             | DBT              | CORP              | KY        |     10100000 | PA      | $8711250.00     | 0.00%             | 2039-12-26      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-680121.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52216 FG 11/47 FIXED 3.5                | CUSIP: 3132XUPA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       105169 | PA      | $98042.67       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                          | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 D 144A        | CUSIP: 69546YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5726178 | PA      | $5747082.35     | 0.00%             | 2032-04-15      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.79500 08/06/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1576607.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR2                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR2 1A1          | CUSIP: 939336D42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       384462 | PA      | $391637.94      | 0.00%             | 2033-05-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST 2005-2                                                           | IMPAC CMB TRUST IMM 2005 2 1A1                             | CUSIP: 45254NMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       882905 | PA      | $872472.78      | 0.00%             | 2035-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XIV LTD 2018-2                                                  | MARBLE POINT CLO LTD. MP14 2018 2A A12R 144A               | CUSIP: 56608KAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6434824 | PA      | $6424982.43     | 0.00%             | 2032-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| CITICORP MTGE SEC 2005-1                                                         | CITICORP MORTGAGE SECURITIES, CMSI 2005 1 1A5              | CUSIP: 172973N21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       248995 | PA      | $232847.73      | 0.00%             | 2035-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $158113.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG6256 G2 06/48 FIXED 4                       | CUSIP: 3617GQ5R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       742779 | PA      | $703690.14      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3532 FN 07/35 FIXED VAR                        | CUSIP: 3140X64S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       104088 | PA      | $100284.45      | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE1                                                     | ACE SECURITIES CORP. ACE 2007 HE1 A2D                      | CUSIP: 00443LAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1004222 | PA      | $608479.50      | 0.00%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA7145 FR 02/50 FIXED 4.5                | CUSIP: 3133A15E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1384552 | PA      | $1366412.54     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR5                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR5 1A1           | CUSIP: 45660LGQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1258171 | PA      | $1114357.49     | 0.00%             | 2035-05-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.7* 09/25/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $20251264.05    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005284 G2 01/42 FIXED 3                       | CUSIP: 36202F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2662 | PA      | $2455.44        | 0.00%             | 2042-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4                | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     36917000 | PA      | $27873272.69    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                       | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A A 144A          | CUSIP: ACI2MKRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    123821755 | PA      | $166811742.67   | 0.08%             | 2060-06-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3                | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4847227 | PA      | $2431168.35     | 0.00%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-3                                              | RIO OIL FINANCE TRUST SR SECURED REGS 01/27 9.75           | CUSIP: U76673AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       388836 | PA      | $403188.92      | 0.00%             | 2027-01-06      | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2006-1                                                      | PRIME MORTGAGE TRUST PRIME 2006 1 2A2                      | CUSIP: 74161BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4982 | PA      | $4888.24        | 0.00%             | 2036-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-1                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 1 A2B            | CUSIP: 59023LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33284224 | PA      | $12540430.43    | 0.01%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3620                                                                 | FREDDIE MAC FHR 3620 TZ                                    | CUSIP: 31398WCQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       499410 | PA      | $517729.08      | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2005-OPT1                                           | SG MORTGAGE SECURITIES TRUST SGMS 2005 OPT1 M3             | CUSIP: 81879MAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1881853.00     | 0.00%             | 2035-10-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005 8                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 8 9A9             | CUSIP: 2254582T4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2216748 | PA      | $1464944.79     | 0.00%             | 2035-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2023-NQM2                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2023 NQM2 SA 144A        | CUSIP: 06745DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6641 | PA      | $6597.63        | 0.00%             | 2053-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555405 FN 03/33 FLOATING VAR                     | CUSIP: 31385XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29985 | PA      | $30687.42       | 0.00%             | 2033-03-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004467 G2 06/39 FIXED 4                       | CUSIP: 36202E6C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3516 | PA      | $3398.12        | 0.00%             | 2039-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R8                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R8 M3             | CUSIP: 03072SUB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11378433 | PA      | $10689169.20    | 0.01%             | 2034-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH2720 FN 01/26 FIXED 4                          | CUSIP: 3138A4AW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1566 | PA      | $1560.73        | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A1            | CUSIP: 75115AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2881820 | PA      | $2436925.82     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A1 1A             | CUSIP: 59020UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       257614 | PA      | $225097.99      | 0.00%             | 2034-02-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-6246518.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7378 FN 04/55 FIXED 7                          | CUSIP: 3140B8FU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1006928 | PA      | $1057674.46     | 0.00%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY4                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY4 1A1                   | CUSIP: 17025RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       658506 | PA      | $591347.24      | 0.00%             | 2047-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 14.0087 05/12/25-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-1241155.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22902.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AA.06-2 SP JPM                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-110045.71     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 2A9           | CUSIP: 45660L3Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2575049 | PA      | $949550.15      | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                            | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75           | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60217217 | PA      | $61087656.87    | 0.03%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-18                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 18 4A1            | CUSIP: 863579FW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       110458 | PA      | $109385.38      | 0.00%             | 2034-12-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                             | EUROSAIL PLC ESAIL 2007 3X A3A REGS                        | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       699547 | PA      | $941208.28      | 0.00%             | 2045-06-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43425 FG 10/46 FIXED 3                  | CUSIP: 3132WGYX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40594 | PA      | $36754.97       | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                                          | RIPON MORTGAGES PLC RIPON 1RA X1 144A                      | CUSIP: ACI23M1P3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      2142857 | PA      | $3550.53        | 0.00%             | 2056-08-28      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A5                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A5 1A1            | CUSIP: 12566WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6421921 | PA      | $5885010.02     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-2RA                                | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 2RA A1 144A       | CUSIP: 14314LAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1163056 | PA      | $1163844.96     | 0.00%             | 2031-05-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-2 2018-2A                               | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 2A B2 144A         | CUSIP: 64828CBS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3947662 | PA      | $3918395.58     | 0.00%             | 2058-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2                     | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE2 A1A          | CUSIP: 04541GWC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11177684 | PA      | $10418194.35    | 0.01%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-5                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 5 2A1B           | CUSIP: 41161PNQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1199187 | PA      | $1048440.12     | 0.00%             | 2045-07-19      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE1                                                     | ACE SECURITIES CORP. ACE 2007 HE1 A2B                      | CUSIP: 00443LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1004222 | PA      | $608515.76      | 0.00%             | 2037-01-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q53661 FG 01/48 FIXED 3.5                | CUSIP: 3132XWB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       134007 | PA      | $125106.98      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A4C           | CUSIP: 61752JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9124743 | PA      | $1899305.18     | 0.00%             | 2046-09-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2006-4                                                | IMPAC SECURED ASSETS CORP. IMSA 2006 4 A2C                 | CUSIP: 45257BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15223980 | PA      | $13304941.34    | 0.01%             | 2037-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4843 FN 02/48 FIXED 4                          | CUSIP: 3140H6LZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3889384 | PA      | $3737225.81     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3.5 JUMBOS                               | CUSIP: 21H032670<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1000000 | PA      | $914613.22      | 0.00%             | 2054-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-49                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 49 A9                     | CUSIP: 12669EG59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4087 | PA      | $3964.57        | 0.00%             | 2033-12-19      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 1A1A          | CUSIP: 25151XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7764840 | PA      | $7199689.55     | 0.00%             | 2047-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7012 FN 10/25 FIXED 4                          | CUSIP: 31419HYJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           25 | PA      | $24.92          | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP BOA                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $11.43          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M2             | CUSIP: 57643LNH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11804977 | PA      | $10680861.20    | 0.01%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP ULO                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-8419619.13    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| BCAP LLC TRUST 2007-AA1                                                          | BCAP LLC TRUST BCAP 2007 AA1 2A1                           | CUSIP: 05530PAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2275429 | PA      | $2072129.32     | 0.00%             | 2037-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2025-2A                                            | LENDBUZZ SECURITIZATION TRUST LBZZ 2025 2A A1 144A         | CUSIP: 52611JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4410753 | PA      | $4411769.03     | 0.00%             | 2026-07-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-9T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 9T1 A1           | CUSIP: 12668BVA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       249367 | PA      | $93281.83       | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52046 FG 11/47 FIXED 3.5                | CUSIP: 3132XUHY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       592247 | PA      | $552913.29      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                    | ARGENT SECURITIES INC. ARSI 2006 M1 A1                     | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47126504 | PA      | $42672168.05    | 0.02%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UROPA SECURITIES PLC 2007-1                                                      | UROPA SECURITIES PLC UROPA 2007 1 A4A REGS                 | CUSIP: B23FXQII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1982849 | PA      | $2621300.34     | 0.00%             | 2040-10-10      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 21A1                 | CUSIP: 07386HVR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3483028 | PA      | $2713729.58     | 0.00%             | 2035-09-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1389 FN 08/40 FIXED 4.5                        | CUSIP: 31416WRK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5191 | PA      | $5212.93        | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-504320.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 763755 FN 02/34 FIXED 6.5                        | CUSIP: 31404BQG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          471 | PA      | $485.87         | 0.00%             | 2034-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3631 FN 04/34 FIXED 3                          | CUSIP: 31418DA93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15188 | PA      | $14759.87       | 0.00%             | 2034-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5223 FR 01/43 FIXED 7                  | CUSIP: 3133KYYU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102826 | PA      | $107738.76      | 0.00%             | 2043-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE4                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE4 1A3          | CUSIP: 07386RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7266520 | PA      | $7119905.19     | 0.00%             | 2037-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A7                                         | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A7 1A4            | CUSIP: 12566TAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       203339 | PA      | $181237.66      | 0.00%             | 2036-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                             | COLLEGE AVE STUDENT LOANS CASL 2023 B E 144A               | CUSIP: 19425MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6974348 | PA      | $7322698.51     | 0.00%             | 2054-06-25      | Fixed         | 10.12%                | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2020-4 DAC 20-4A                                                    | OCP EURO CLO OCPE 2020 4A ARR 144A                         | CUSIP: ACI2YYN53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     22600000 | PA      | $26615223.19    | 0.01%             | 2039-10-20      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-20                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 20 A7                     | CUSIP: 126694FN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       353632 | PA      | $206762.00      | 0.00%             | 2027-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8409 FN 03/47 FIXED 4                          | CUSIP: 3140FUKX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       348056 | PA      | $331534.96      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2B               | CUSIP: 61750MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2558927 | PA      | $1104734.65     | 0.00%             | 2036-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 1A5         | CUSIP: 12668AU29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1185119 | PA      | $1100673.99     | 0.00%             | 2036-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $11116.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIFIRST FRANKLIN MTG LOAN ABS 2006-FF2                                           | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF2 A1             | CUSIP: 32027NZX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9860743 | PA      | $9435289.99     | 0.00%             | 2036-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A3            | CUSIP: 590238AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22958220 | PA      | $8993795.26     | 0.00%             | 2047-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2004-2                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 2 1A1             | CUSIP: 86359BKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201550 | PA      | $198215.90      | 0.00%             | 2034-03-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4547 FN 01/48 FIXED 4                          | CUSIP: 3140H6BR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6315703 | PA      | $6057250.28     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6996 FN 04/46 FIXED 4                          | CUSIP: 3138WGX25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1453810 | PA      | $1398531.70     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-INV1                                             | VERUS SECURITIZATION TRUST VERUS 2024 INV1 A1 144A         | CUSIP: 92540FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45190951 | PA      | $45752077.70    | 0.02%             | 2069-03-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4750 FN 10/46 FIXED 4                          | CUSIP: 3140F0H49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       276040 | PA      | $265627.47      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4049 FN 12/41 FIXED 4                          | CUSIP: 31417AQB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       319935 | PA      | $311471.88      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ1995 FR 07/54 FIXED 7                  | CUSIP: 3142GSGD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999900 | PA      | $1047747.37     | 0.00%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-RP5                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP5 PT 144A       | CUSIP: 17331EAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251134911 | PA      | $208356942.25   | 0.10%             | 2076-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-AON                  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 AON A 144A       | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27783000 | PA      | $25482873.21    | 0.01%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3929 FN 12/47 FIXED 3.5                        | CUSIP: 3140H5LK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       387932 | PA      | $362987.03      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2491 FN 10/44 FIXED 4                          | CUSIP: 3138Y3XV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1074757 | PA      | $1036667.54     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $599616.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS3                                              | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS3 AI4           | CUSIP: 74924YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27717990 | PA      | $27053814.11    | 0.01%             | 2037-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-930639.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $667557.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $7180.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-4                                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 4 M3              | CUSIP: 83611MKG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       271126 | PA      | $269982.50      | 0.00%             | 2036-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 2A3                 | CUSIP: 46628KAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       588292 | PA      | $496474.78      | 0.00%             | 2036-05-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14 LTD 2021-14A                                                          | AGL CLO 14, LTD. AGL 2021 14A AR 144A                      | CUSIP: 00851WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     32100000 | PA      | $32130143.51    | 0.02%             | 2034-12-02      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2024-2                                              | DELL EQUIPMENT FINANCE TRUST DEFT 2024 2 A2 144A           | CUSIP: 24704EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55726067 | PA      | $55849188.11    | 0.03%             | 2030-08-22      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9376 FN 10/47 FIXED 4                          | CUSIP: 3140GYM22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5311029 | PA      | $5134654.53     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5631 FN 02/48 FIXED 3.5                        | CUSIP: 3140H7HH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1608407 | PA      | $1489358.52     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4          | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1980697 | PA      | $1862947.73     | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 03/29 3.2                           | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     10000000 | PA      | $9652028.30     | 0.00%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM4                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM4 A2C           | CUSIP: 81377XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7082029 | PA      | $1961547.77     | 0.00%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0639 FN 03/48 FIXED 4                          | CUSIP: 3140H1V98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       386262 | PA      | $371411.21      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOFTBANK GROUP CORP SNR JP SP GST                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $97625.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.70000 05/13/24-3Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $5018883.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.64300 08/28/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-311001.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI2 144A      | CUSIP: 760985X97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2820920 | PA      | $2966128.73     | 0.00%             | 2034-04-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH3186 G2 07/48 FIXED 4                       | CUSIP: 3617H0RF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       595523 | PA      | $564183.71      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-WF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 WF1 M5            | CUSIP: 863576FM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7982506 | PA      | $7979130.69     | 0.00%             | 2036-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA0469 FN 01/53 FIXED VAR                        | CUSIP: 3140W0QX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       800001 | PA      | $839973.50      | 0.00%             | 2053-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XII LTD 2021-12A                                                     | VIBRANT CLO LTD VIBR 2021 12A A1A2 144A                    | CUSIP: 92558WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     78300000 | PA      | $78300000.00    | 0.04%             | 2034-04-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA STRUCTURED SECURITIES TRUST 2025-S1                           | FINANCE OF AMERICA STRUCTURED FASST 2025 S1 A1 144A        | CUSIP: 31741BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158741821 | PA      | $153625555.80   | 0.08%             | 2075-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                                  | VERAISON RE LTD UNSECURED 144A 03/33 VAR                   | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |      3550000 | PA      | $3589227.50     | 0.00%             | 2033-03-08      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-7F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 7F 4A1                    | CUSIP: 362341NF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       243655 | PA      | $237431.91      | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0303 FN 10/46 FIXED 4                          | CUSIP: 3140FKKR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       138385 | PA      | $133150.17      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2FP              | CUSIP: 61750MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       215885 | PA      | $93232.86       | 0.00%             | 2036-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8313 FN 04/47 FIXED 4                          | CUSIP: 3140FUGX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       166370 | PA      | $158516.24      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A1                | CUSIP: 59020UUK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       539815 | PA      | $485641.84      | 0.00%             | 2035-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-2                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 2 1A               | CUSIP: 1266713T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3606069 | PA      | $3560379.59     | 0.00%             | 2034-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL6 PT 144A      | CUSIP: 36272QAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119827970 | PA      | $100873737.19   | 0.05%             | 2064-01-25      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A6           | CUSIP: 45660LQL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1310334 | PA      | $969949.50      | 0.00%             | 2035-08-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080283 G2 05/29 FLOATING VAR                  | CUSIP: 36225CJ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1271 | PA      | $1271.40        | 0.00%             | 2029-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-56                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 56 6A1                    | CUSIP: 12669FBR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26121 | PA      | $26820.79       | 0.00%             | 2033-12-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA6573 FR 02/50 FIXED 3                  | CUSIP: 3133A1JS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6331218 | PA      | $5690300.13     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1+24/8.55* 12/18/25-3Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $2169765.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3            | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7201587 | PA      | $6428752.09     | 0.00%             | 2047-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 12A5          | CUSIP: 07384M5Y4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       248921 | PA      | $241103.77      | 0.00%             | 2035-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 1A2                 | CUSIP: 46628LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       128495 | PA      | $86319.30       | 0.00%             | 2036-06-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2025-R1                                                                | CIM TRUST CIM 2025 R1 A1 144A                              | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21366576 | PA      | $21265445.43    | 0.01%             | 2099-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $4394537.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO 2024-1A LTD                                                             | VOYA CLO LTD VOYA 2024 1A A1 144A                          | CUSIP: 92920DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13330000 | PA      | $13377404.81    | 0.01%             | 2037-04-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH6141 FR 11/53 FIXED 6.5                | CUSIP: 3133CJZE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1097850 | PA      | $1138151.88     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HERITAGE AUTO RECEIVABLES TRUST 2024-1A                                 | AMERICAN HERITAGE AUTO RECEIVA AHART 2024 1A A2 144A       | CUSIP: 026944AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8390787 | PA      | $8411055.54     | 0.00%             | 2028-03-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $-322121.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.55000 04/16/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $698325.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF222 RR                               | CUSIP: ACI2QBJY4<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     10673444 | PA      | $13081264.64    | 0.01%             | 2028-04-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC STRIPS 363                                                           | FREDDIEMAC STRIP FHS 363 C17                               | CUSIP: 31325XBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3587916 | PA      | $464730.95      | 0.00%             | 2048-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                              | BAMLL COML MTG SECS TR 2024 04/42 1                        | CUSIP: 05554WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43790000 | PA      | $32933105.89    | 0.02%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED REGS 01/28 3.375               | CUSIP: ACI1FL2Y4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      8706000 | PA      | $8815858.37     | 0.00%             | 2028-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-9                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 9 1A3 144A        | CUSIP: 17313NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3649149 | PA      | $1947476.18     | 0.00%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 4A1                  | CUSIP: 126670JZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2009586 | PA      | $1757570.68     | 0.00%             | 2036-02-20      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-109764.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH8919 FR 01/54 FIXED 6.5                | CUSIP: 3133CM4C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1828059 | PA      | $1893559.21     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0226B6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -53000000 | PA      | $-44668843.08   | -0.02%            | 2055-11-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2007-QS8                                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS8 A7            | CUSIP: 74922UAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10623494 | PA      | $8542499.13     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 1A A3 144A       | CUSIP: 78435VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14581399 | PA      | $14681791.46    | 0.01%             | 2029-05-21      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256461 FN 10/26 FIXED 5                          | CUSIP: 31371MZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2633 | PA      | $2631.41        | 0.00%             | 2026-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2009-19                                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 19 IO              | CUSIP: 38373M6P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       592297 | PA      | $19.72          | 0.00%             | 2051-03-16      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                          | FREDDIE MAC FHR 4579 SD                                    | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9748595 | PA      | $501138.21      | 0.00%             | 2038-01-15      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                      | CUSIP: 05494AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28198000 | PA      | $25372754.97    | 0.01%             | 2056-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3149 FN 10/47 FIXED 4                          | CUSIP: 31418CQB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13791489 | PA      | $13263362.90    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7558 FN 07/46 FIXED 4                          | CUSIP: 3138WHMG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       988537 | PA      | $951255.35      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-OP1                                                     | ACE SECURITIES CORP. ACE 2003 OP1 M1                       | CUSIP: 004427BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       628656 | PA      | $631401.58      | 0.00%             | 2033-12-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2005-R10                                             | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R10 M4            | CUSIP: 03072SS97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14093000 | PA      | $13799775.40    | 0.01%             | 2036-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R3                                    | MORGAN STANLEY REREMIC TRUST MSRR 2015 R3 8B 144A          | CUSIP: 61690TAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2625205 | PA      | $1275777.35     | 0.00%             | 2047-04-26      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-I                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 IM1 A1           | CUSIP: 07387UFD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4093339 | PA      | $4213641.07     | 0.00%             | 2036-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 4 3A1            | CUSIP: 07387ABR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       131016 | PA      | $122710.58      | 0.00%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO BARCLAYS REVERSE REPO                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -178553635 | PA      | $-178553635.00  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                                    | GSAA HOME EQUITY TRUST GSAA 2006 5 2A2                     | CUSIP: 362334GS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18830310 | PA      | $6043825.40     | 0.00%             | 2036-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| INTERNET BRANDS INC (MH SUB I LLC)                                               | MH SUB I LLC 2024 TERM LOAN B4                             | CUSIP: 45567YAP0<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |      1123140 | PA      | $1036096.21     | 0.00%             | 2031-12-31      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 13A1           | CUSIP: 07384MH39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201416 | PA      | $195115.11      | 0.00%             | 2034-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA3586 FR 09/50 FIXED 4                  | CUSIP: 3133KJ6X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41630 | PA      | $39653.73       | 0.00%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1692 FN 12/47 FIXED 3.5                        | CUSIP: 3140H23A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14172 | PA      | $13213.40       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A3 144A       | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14260854 | PA      | $14365325.05    | 0.01%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| BRYANT PARK FUNDING 2024-22A LTD                                                 | BRYANT PARK FUNDING LTD BRYPK 2024 22A A1 144A             | CUSIP: 11766CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     43000000 | PA      | $43210545.20    | 0.02%             | 2037-04-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 15A1           | CUSIP: 07384MJ29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       372574 | PA      | $345501.14      | 0.00%             | 2034-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                          | ACHV ABS TRUST ACHV 2025 1PL B 144A                        | CUSIP: 00112MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3534749 | PA      | $3551191.90     | 0.00%             | 2032-04-26      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-3A                                                                 | VOYA CLO LTD VOYA 2017 3A A1RR 144A                        | CUSIP: 92915QBG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    137800000 | PA      | $137976831.85   | 0.07%             | 2034-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2025-1A                                            | LENDBUZZ SECURITIZATION TRUST LBZZ 2025 1A A2 144A         | CUSIP: 525938AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11994819 | PA      | $12012589.81    | 0.01%             | 2030-10-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8532 FN 12/46 FIXED 4                          | CUSIP: 3138WJPS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23312 | PA      | $22390.43       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8527 FR 04/55 FIXED 7                  | CUSIP: 3132DWPL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    186000106 | PA      | $194842625.46   | 0.10%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8464 FR 09/54 FIXED 6.5                | CUSIP: 3132DWMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    169983112 | PA      | $175575655.18   | 0.09%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING XVII LTD 17A                                            | ALESCO PREFERRED FUNDING LTD ALESC 17A A2 144A             | CUSIP: 01450NAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10000000 | PA      | $9050000.00     | 0.00%             | 2038-09-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $420.93         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.00000 09/17/25-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $5825207.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9386 FN 12/26 FIXED 3                          | CUSIP: 3138E2NC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1145 | PA      | $1135.97        | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW1209 FN 10/52 FIXED 5.5                        | CUSIP: 3140MSKX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2870147 | PA      | $2907978.86     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 07/32 7.75               | CUSIP: 654922AC7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     52400000 | PA      | $55492010.29    | 0.03%             | 2032-07-17      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4737 FN 08/46 FIXED 4                          | CUSIP: 3140FCHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65677 | PA      | $62935.73       | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251215                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-850052.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                          | CHASEFLEX TRUST CFLX 2007 M1 2AV3                          | CUSIP: 16165YAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5346992 | PA      | $4502803.75     | 0.00%             | 2037-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                                | OSCAR US FUNDING TRUST OSCAR 2024 2A A2 144A               | CUSIP: 68784BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18349946 | PA      | $18370883.29    | 0.01%             | 2027-12-10      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| NRZT 2019-5A                                                                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 5A B5B 144A        | CUSIP: 64830MEC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14164446 | PA      | $13172203.96    | 0.01%             | 2059-08-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| PHH ALTERNATIVE MORTGAGE TRUST 2007-3                                            | PHH ALTERNATIVE MORTGAGE TRUST PHHAM 2007 3 A4             | CUSIP: 69337MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       625048 | PA      | $616031.08      | 0.00%             | 2037-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W8                                                     | FANNIEMAE WHOLE LOAN FNW 2002 W8 F                         | CUSIP: 31392DQ70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4484 | PA      | $4353.07        | 0.00%             | 2032-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 2A1             | CUSIP: 007036HV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       147433 | PA      | $138425.99      | 0.00%             | 2035-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895564 FN 05/36 FIXED 6                          | CUSIP: 31410R5Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6705 | PA      | $6895.88        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A21                | CUSIP: 466247B28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       603335 | PA      | $248295.12      | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-14                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 14 2A1A          | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8342899 | PA      | $7827289.45     | 0.00%             | 2047-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251010                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $240781.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 1 5A1            | CUSIP: 073880AM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1714996 | PA      | $1541807.00     | 0.00%             | 2047-02-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5776 FN 09/45 FIXED 4                          | CUSIP: 3138WFM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       124863 | PA      | $119935.77      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.45000 10/20/23-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $8010617.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5082 FN 03/44 FIXED VAR                        | CUSIP: 3138EMUG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       159426 | PA      | $158322.77      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM4737 FN 09/50 FIXED VAR                        | CUSIP: 3140X8HP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       256050 | PA      | $236569.48      | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $387370.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                     | CAIXABANK SA 144A 09/27 VAR                                | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     41400000 | PA      | $42307160.11    | 0.02%             | 2027-09-13      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT2089 FR 06/49 FIXED 5                  | CUSIP: 3132AEKA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       807670 | PA      | $816837.53      | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A3 144A        | CUSIP: 39571VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13800000 | PA      | $14004910.68    | 0.01%             | 2060-06-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A15         | CUSIP: 02146TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3383346 | PA      | $1653393.70     | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1219 FN 07/46 FIXED 3.5                        | CUSIP: 3140EVK97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47424 | PA      | $44359.95       | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2007-19                                          | COUNTRYWIDE HOME LOANS CWHL 2007 19 1A1                    | CUSIP: 12544PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20912756 | PA      | $8276630.96     | 0.00%             | 2037-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ5722 FN 09/30 FIXED 3.5                        | CUSIP: 3138YXLC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       129968 | PA      | $128236.41      | 0.00%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD1966 FR 11/52 FIXED 4                  | CUSIP: 3132DPFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24381 | PA      | $23096.25       | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP MYC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $0.07           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.52000 03/27/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $76560.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM6001 FN 06/50 FIXED VAR                        | CUSIP: 3140X9U37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121737 | PA      | $112636.72      | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83790 FG 12/47 FIXED 3.5                | CUSIP: 3132L9F75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5258327 | PA      | $4887886.77     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.41500 08/04/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1748009.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-1385191.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4827 FN 04/42 FIXED 3.5                        | CUSIP: 3138E9LH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9765 | PA      | $9204.65        | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.46300 10/23/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2369974.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 01/26 0.00000                                | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8151000 | PA      | $8061088.44     | 0.00%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $17424803.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4372 FR 08/27 FIXED 2.5                | CUSIP: 3131X72D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       928735 | PA      | $916017.54      | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC BARCLAYS PLC                                  | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     20700000 | PA      | $21106212.25    | 0.01%             | 2028-03-12      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 583050 FN 05/31 FIXED 6.5                        | CUSIP: 31387FWK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          408 | PA      | $428.54         | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                                | OSCAR US FUNDING TRUST OSCAR 2024 2A A3 144A               | CUSIP: 68784BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9300000 | PA      | $9316292.67     | 0.00%             | 2029-03-12      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q40832 FG 06/46 FIXED 3                  | CUSIP: 3132WD4S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98346 | PA      | $89127.74       | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR2                                                          | BCAP LLC TRUST BCAP 2010 RR2 5A6 144A                      | CUSIP: 05532VBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4353584 | PA      | $3902484.00     | 0.00%             | 2036-12-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR18 2A1          | CUSIP: 92922F8Q4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       480773 | PA      | $450013.60      | 0.00%             | 2036-01-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE8                                                             | GSAMP TRUST GSAMP 2006 HE8 A2C                             | CUSIP: 3622M8AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       965532 | PA      | $948843.92      | 0.00%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A B 144A          | CUSIP: 83407UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9528000 | PA      | $9664224.96     | 0.00%             | 2034-03-27      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| BCAP LLC TRUST 2012-RR11                                                         | BCAP LLC TRUST BCAP 2012 RR11 5A3 144A                     | CUSIP: 05541YAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4471904 | PA      | $2030604.91     | 0.00%             | 2037-04-26      | Variable      | 10.29%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 313649 FN 08/27 FIXED VAR                        | CUSIP: 31374GL62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          225 | PA      | $231.73         | 0.00%             | 2027-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-INV2                                             | VERUS SECURITIZATION TRUST VERUS 2022 INV2 A1 144A         | CUSIP: 924923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11922163 | PA      | $11888681.79    | 0.01%             | 2067-10-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-97283783.12   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                                             | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A M1 144A       | CUSIP: 07325QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1671722 | PA      | $1693469.27     | 0.00%             | 2037-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIII LTD / PREFERRED TERM SECURITIES XXIII INC        | PREFERRED TERM XXIII SECURED 144A 12/36 VAR                | CUSIP: 74043AAG6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      1308981 | PA      | $1047184.92     | 0.00%             | 2036-12-22      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2020-2 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2020 2A ARR 144A        | CUSIP: 05683EAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     78400000 | PA      | $78509760.00    | 0.04%             | 2034-07-19      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A5                   | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       160497 | PA      | $146545.10      | 0.00%             | 2035-09-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 1A1            | CUSIP: 05949CKM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        58134 | PA      | $54909.43       | 0.00%             | 2035-11-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE4                                                             | GSAMP TRUST GSAMP 2006 HE4 A1                              | CUSIP: 362439AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3194718 | PA      | $3146326.40     | 0.00%             | 2036-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-107                                                              | FANNIE MAE FNR 2009 107 SM                                 | CUSIP: 31398GXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1068744 | PA      | $84074.07       | 0.00%             | 2040-01-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256946 FN 10/27 FIXED 6.5                        | CUSIP: 31371NL37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7413 | PA      | $7651.71        | 0.00%             | 2027-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2632 FR 05/53 FIXED 5                  | CUSIP: 3133C24R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44963 | PA      | $44862.88       | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2007-HE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 HE1 AF1          | CUSIP: 46630KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        93985 | PA      | $63748.59       | 0.00%             | 2047-03-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0161 FN 02/48 FIXED 3.5                        | CUSIP: 3140HDFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       514553 | PA      | $482108.90      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890762 FN 10/31 FIXED VAR                        | CUSIP: 31410LTT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101112 | PA      | $97788.22       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-5AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 5AR 4A1            | CUSIP: 61748HLF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30613 | PA      | $19811.99       | 0.00%             | 2035-09-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 04/29 4              | CUSIP: ACI2C9P27<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     11700000 | PA      | $9709375.26     | 0.00%             | 2029-04-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005-5                                                  | FBR SECURITIZATION TRUST FBRSI 2005 5 M2                   | CUSIP: 30246QCQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       202927 | PA      | $202170.71      | 0.00%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A B 144A         | CUSIP: 21055PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35905953 | PA      | $37225988.79    | 0.02%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q45094 FG 12/46 FIXED 3                  | CUSIP: 3132WJUU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       622591 | PA      | $563716.83      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5394 FR 01/53 FIXED 5.5                | CUSIP: 3133BS7F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1579881 | PA      | $1600868.87     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-7                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 7 1A3             | CUSIP: 863579PF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27834 | PA      | $25472.56       | 0.00%             | 2035-04-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A C 144A                       | CUSIP: ACI2NGCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     33617000 | PA      | $39359792.35    | 0.02%             | 2058-06-28      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF1 A2E           | CUSIP: 17307G4K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1724427 | PA      | $814256.29      | 0.00%             | 2036-03-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC2 1A           | CUSIP: 12668BRC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1072681 | PA      | $924513.70      | 0.00%             | 2036-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 4A1             | CUSIP: 058928AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       367467 | PA      | $296898.10      | 0.00%             | 2036-03-20      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 4A1A          | CUSIP: 41161PZC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8359608 | PA      | $3289080.89     | 0.00%             | 2036-01-19      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN9983 FR 04/37 FIXED 3                  | CUSIP: 3133GHCU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       403530 | PA      | $387338.49      | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-D                                                   | FREMONT HOME LOAN TRUST FHLT 2006 D 2A2                    | CUSIP: 35729VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20178728 | PA      | $7058099.49     | 0.00%             | 2036-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-7                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 7 2AS2            | CUSIP: 86364DAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1482068 | PA      | $1384185.14     | 0.00%             | 2047-08-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A1          | CUSIP: 12668AUQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5301777 | PA      | $2649927.16     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2006-1                                            | AMERICAN HOME MORTGAGE INVESTM AHM 2006 1 12A1             | CUSIP: 02660TJB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6335533 | PA      | $5678890.13     | 0.00%             | 2046-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA B 144A            | CUSIP: 63942TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52400000 | PA      | $57045480.08    | 0.03%             | 2072-03-15      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8193 FN 10/31 FIXED 2.5                        | CUSIP: 3138WJC71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47218 | PA      | $45600.60       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2003-5                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 5 M5             | CUSIP: 64352VEM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34362 | PA      | $31451.07       | 0.00%             | 2033-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/54 4.5                                  | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1910600000 | PA      | $1840146625.00  | 0.91%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE10                             | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE10 M2          | CUSIP: 073879X45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19967512 | PA      | $20394481.02    | 0.01%             | 2035-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-4                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 4 3A             | CUSIP: 41161PEM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11945 | PA      | $11442.82       | 0.00%             | 2034-06-19      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $11735638.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256535 FN 11/26 FIXED 5                          | CUSIP: 31371M4U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          273 | PA      | $272.90         | 0.00%             | 2026-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL6 SA 144A      | CUSIP: 36272QAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        63876 | PA      | $62682.51       | 0.00%             | 2064-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $184953.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 15 A1                     | CUSIP: 12669GQ53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       197985 | PA      | $98254.68       | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2015 FN 11/49 FIXED VAR                        | CUSIP: 3140X5GZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20521067 | PA      | $18391863.17    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A7             | CUSIP: 93935HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4948532 | PA      | $1306365.84     | 0.00%             | 2036-09-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 03/28 VAR                   | CUSIP: 639057AL2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     42300000 | PA      | $43101708.52    | 0.02%             | 2028-03-01      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725553 FN 09/33 FLOATING VAR                     | CUSIP: 31402DBW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          200 | PA      | $201.73         | 0.00%             | 2033-09-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2007-WMC1                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2007 WMC1 A2B          | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2176718 | PA      | $1838244.74     | 0.00%             | 2037-06-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| TESLA ELECTRIC VEHICLE TRUST 2023-1                                              | TESLA ELECTRIC VEHICLE TRUST TEVT 2023 1 A4 144A           | CUSIP: 881943AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15000000 | PA      | $15284259.00    | 0.01%             | 2029-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-NP14                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 NP14 M1 144A      | CUSIP: 22541NDH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       175308 | PA      | $80837.78       | 0.00%             | 2031-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 2A2            | CUSIP: 65535VSA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1326924 | PA      | $951827.58      | 0.00%             | 2036-02-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9574 FN 05/47 FIXED 3.5                        | CUSIP: 3138WKT88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6015384 | PA      | $5623593.65     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-SD3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 SD3 A1 144A        | CUSIP: 126673FJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       184510 | PA      | $180532.79      | 0.00%             | 2034-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-3A                                                      | AFFIRM MASTER TRUST AFRMT 2025 3A A 144A                   | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45110000 | PA      | $45090214.75    | 0.02%             | 2034-10-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR6 2A2           | CUSIP: 93363BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4442297 | PA      | $4005414.92     | 0.00%             | 2036-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-7                                                         | FANNIE MAE FNR 2013 7 IO                                   | CUSIP: 3136ABUE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1206504 | PA      | $27503.34       | 0.00%             | 2028-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0619 FN 10/47 FIXED 4                          | CUSIP: 3140Q7VM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49686 | PA      | $47906.03       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.00000 09/18/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $18098767.52    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP MEI                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $0.90           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 1A4           | CUSIP: 93362FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35271 | PA      | $33357.29       | 0.00%             | 2046-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1107 FN 06/49 FIXED VAR                        | CUSIP: 3140X4GR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7853595 | PA      | $7553003.23     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A2 144A        | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23746590 | PA      | $23843146.34    | 0.01%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A         | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1688135 | PA      | $1735950.41     | 0.00%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA BPCE SA                                            | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     66000000 | PA      | $70096826.58    | 0.03%             | 2029-10-19      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM6785 FN 09/27 FIXED VAR                        | CUSIP: 3140XARF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          988 | PA      | $981.81         | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE4                                           | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE4 M7           | CUSIP: 04541GRR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7216739 | PA      | $6862615.42     | 0.00%             | 2035-05-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2007 AR2 6A1                   | CUSIP: 3622N6AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6368619 | PA      | $4054074.54     | 0.00%             | 2037-05-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2959 FN 04/47 FIXED 3.5                        | CUSIP: 31418CJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       190730 | PA      | $178327.78      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5786 FN 07/45 FIXED 7                          | CUSIP: 31418FNC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       494313 | PA      | $518587.74      | 0.00%             | 2045-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                              | BCP TRUST BCP 2021 330N A 144A                             | CUSIP: 05553BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2300000 | PA      | $2041808.67     | 0.00%             | 2038-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2025-3                              | AMERICAN CREDIT ACCEPTANCE REC ACAR 2025 3 A 144A          | CUSIP: 02528EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11685937 | PA      | $11713760.97    | 0.01%             | 2029-01-12      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q57567 FG 08/48 FIXED 4                  | CUSIP: 3132Y1MR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2431529 | PA      | $2343375.80     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3848 FR 01/27 FIXED 3                  | CUSIP: 3131X7HZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110390 | PA      | $109465.96      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6.5 JUMBOS                               | CUSIP: 21H0626B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000000 | PA      | $25677483.50    | 0.01%             | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251205                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-845884.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH3                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH3 A1B          | CUSIP: 02151DAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10246323 | PA      | $9918388.12     | 0.00%             | 2047-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2023 RPL2 SA 144A      | CUSIP: 36270PAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1290019 | PA      | $1221027.13     | 0.00%             | 2063-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                     | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/30 7.25        | CUSIP: ACI2L7QQ7<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       975757 | PA      | $149947.31      | 0.00%             | 2030-09-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC1 A5          | CUSIP: 46626LHU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32490420 | PA      | $31365202.23    | 0.02%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A A2 144A        | CUSIP: 210928AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166770000 | PA      | $173219746.37   | 0.09%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AR98 CREDIT SUISSE GROUP AG          | CUSIP: 952NPGII8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     18510000 | PA      | $2406300.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC ALTERNATE LOAN TRUST 2005-5                        | DEUTSCHE ALT A SECURITIES INC DBALT 2005 5 2A3             | CUSIP: 251510HW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1819499 | PA      | $835607.25      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q58587 FG 09/48 FIXED 3.5                | CUSIP: 3132Y2RH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18816 | PA      | $17452.13       | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3336 FN 04/38 FIXED 3.5                        | CUSIP: 31418CV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       842747 | PA      | $812584.93      | 0.00%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-3                                                | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 3 A 144A              | CUSIP: 33843YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5309493 | PA      | $5325059.57     | 0.00%             | 2028-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $178061.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2004-OPT1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 OPT1 M3           | CUSIP: 17307GJK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3473923 | PA      | $3390703.91     | 0.00%             | 2034-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $7843.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MORTGAGE LOAN TRUST 2007-F1                                         | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 F1 1A1            | CUSIP: 456671AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9918167 | PA      | $5838584.92     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $561402.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | REPUBLIC OF TURKIYE SR UNSECURED 04/29 7.625               | CUSIP: 900123CT5<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    253315000 | PA      | $269480053.54   | 0.13%             | 2029-04-26      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XIV LTD 2019-1A                                                | MOUNTAIN VIEW CLO MVEW 2019 1A A1R 144A                    | CUSIP: 62432MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     78100000 | PA      | $78213245.00    | 0.04%             | 2034-10-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ2 A4            | CUSIP: 83611XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12528593 | PA      | $9148184.58     | 0.00%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4422 FN 07/45 FIXED 4                          | CUSIP: 3138YV4G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26220 | PA      | $25206.80       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.07800 04/29/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3781253.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-SEA1                                 | MORGAN STANLEY CAPITAL INC MSAC 2007 SEA1 1A1 144A         | CUSIP: 61757MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23382302 | PA      | $19467256.13    | 0.01%             | 2047-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-SJ1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2025 SJ1 SA 144A       | CUSIP: 36273PAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       910150 | PA      | $755835.68      | 0.00%             | 2071-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-6AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 6AR 5A1            | CUSIP: 61748HMR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62898 | PA      | $23894.46       | 0.00%             | 2035-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8981 FN 09/47 FIXED 4                          | CUSIP: 3140GX6T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       225652 | PA      | $217011.13      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK5260 FN 05/48 FIXED 4.5                        | CUSIP: 3140HJZ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       195782 | PA      | $193458.77      | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 1A1             | CUSIP: 23246BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4038531 | PA      | $3863023.13     | 0.00%             | 2047-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SEC 2006-2                                         | CITICORP RESIDENTIAL MORTGAGE CRMSI 2006 2 M1              | CUSIP: 17310EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11965496 | PA      | $11873888.11    | 0.01%             | 2036-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| KINBANE 2022-RPL 1 DAC  22-RPL1A                                                 | KINBANE DAC KINBN 2022 RPL1A B 144A                        | CUSIP: ACI278GN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     28699000 | PA      | $34388178.01    | 0.02%             | 2062-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ2                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ2 M3                | CUSIP: 70069FHW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1459781 | PA      | $1454546.98     | 0.00%             | 2035-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY0899 FR 04/55 FIXED 7                  | CUSIP: 31426J7M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3319068 | PA      | $3484501.82     | 0.00%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                             | EAST LANE RE VII LTD UNSECURED 144A 03/26 VAR              | CUSIP: 27332EAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     32100000 | PA      | $32655330.00    | 0.02%             | 2026-03-31      | Floating      | 12.82%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD6999 FR 11/54 FIXED 7                  | CUSIP: 3132DUX44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2073084 | PA      | $2172175.29     | 0.00%             | 2054-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.7 03/24/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-671833.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1                                    | STRUCTURED ASSET INVESTMENT LO SAIL 2006 1 A4              | CUSIP: 86358EA97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28594092 | PA      | $27061397.25    | 0.01%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A1           | CUSIP: 92927XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2707747 | PA      | $2385421.84     | 0.00%             | 2037-06-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-14                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 14 A18                    | CUSIP: 12544DAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1922446 | PA      | $947051.60      | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 B 144A         | CUSIP: 69544MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14422255 | PA      | $14529767.49    | 0.01%             | 2032-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2020-2A                                         | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2020 2A A 144A        | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17057393 | PA      | $16769040.70    | 0.01%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCIAL SECURITIZATIONS 2000-1                                         | CONSECO FINANCE SECURITIZATION CNF 2000 1 A5               | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7259589 | PA      | $947749.57      | 0.00%             | 2029-09-01      | Fixed         | 8.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A6A              | CUSIP: 12638PAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20629491 | PA      | $5736619.92     | 0.00%             | 2037-04-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-1                                                    | GSAA HOME EQUITY TRUST GSAA 2007 1 1A2                     | CUSIP: 3622EQAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7790558 | PA      | $2165735.30     | 0.00%             | 2037-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $13484.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4851                                                          | FREDDIE MAC FHR 4851 PO                                    | CUSIP: 3137FKAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26454056 | PA      | $17291167.30    | 0.01%             | 2057-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 1A1           | CUSIP: 44328AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4276015 | PA      | $1148878.31     | 0.00%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 1A1          | CUSIP: 32056JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22919 | PA      | $8895.87        | 0.00%             | 2037-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-577823.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP5226 FN 04/50 FIXED 4                          | CUSIP: 3140KCYY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       522628 | PA      | $496103.53      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $3490424.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5 JUMBOS                                 | CUSIP: 21H0506A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    554759000 | PA      | $551903966.09   | 0.27%             | 2054-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BC6871 G2 08/47 FIXED 3.5                     | CUSIP: 3617BAT45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       696801 | PA      | $644626.88      | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3191 FN 02/28 FIXED VAR                        | CUSIP: 3138EKRM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19008 | PA      | $18884.08       | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7188 FN 05/46 FIXED 4                          | CUSIP: 3138WG7A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46041 | PA      | $44323.61       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STUDENT LOAN MARKETING ASSN 2006-B                                               | SLM STUDENT LOAN TRUST SLMA 2006 B A5                      | CUSIP: 78443CCU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       237241 | PA      | $231641.76      | 0.00%             | 2039-12-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                              | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2D               | CUSIP: 617451EV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69915573 | PA      | $58837345.44    | 0.03%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA7312 FR 02/50 FIXED 4                  | CUSIP: 3133A2DR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       879828 | PA      | $857569.22      | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0201 FN 05/53 FIXED 5.5                        | CUSIP: 3140NGGK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1524438 | PA      | $1542170.01     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-3                                                 | AEGIS ASSET BACKED SECURITIES AABST 2004 3 M1              | CUSIP: 00764MCF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       850571 | PA      | $969039.28      | 0.00%             | 2034-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-MS9                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS9 2A           | CUSIP: 939336N66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3530 | PA      | $3646.06        | 0.00%             | 2033-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7600 FN 07/46 FIXED 4                          | CUSIP: 3138WHNS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2615514 | PA      | $2516881.94     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/28 0.75                                 | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    349009716 | PA      | $347467588.21   | 0.17%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST 2024-MH1                                                  | CASCADE MH ASSET TRUST CMHAT 2024 MH1 A1 144A              | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5212243 | PA      | $5370161.73     | 0.00%             | 2056-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A1 144A         | CUSIP: 21050QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48525224 | PA      | $48870412.87    | 0.02%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5068 FN 07/46 FIXED 4                          | CUSIP: 3140FQT23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17352 | PA      | $16728.43       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE4                                                             | GSAMP TRUST GSAMP 2005 HE4 M3                              | CUSIP: 362341KE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2099137 | PA      | $2113312.65     | 0.00%             | 2045-07-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2019-SPL1                                                            | CSMCM TRUST CERTIFICATES CSMCM 2019 SPL1 CERT 144A         | CUSIP: 12653XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21010432 | PA      | $24438158.16    | 0.01%             | 2049-07-25      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG0979 FR 04/53 FIXED 5.5                | CUSIP: 3133C1CQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       186937 | PA      | $188892.27      | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2005-AR1                                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR1 3A1           | CUSIP: 45660LDE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12183 | PA      | $11542.29       | 0.00%             | 2035-03-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-4                                           | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M4              | CUSIP: 00252FCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9557000 | PA      | $9079171.03     | 0.00%             | 2035-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 H 7A1             | CUSIP: 05946XJ79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2574370 | PA      | $2184393.97     | 0.00%             | 2035-11-20      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 06/29 VAR                   | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     73000000 | PA      | $73525710.23    | 0.04%             | 2029-06-19      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                                    | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A                  | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     73629018 | PA      | $73824853.79    | 0.04%             | 2033-04-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 9 A11                     | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       289238 | PA      | $135267.95      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-J11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J11 3A1          | CUSIP: 12667FXN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24680 | PA      | $25540.13       | 0.00%             | 2032-08-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-475.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/17/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-6941998.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54511 FG 02/48 FIXED 3.5                | CUSIP: 3132XXAM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121360 | PA      | $112999.72      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-OPT4                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT4 M4           | CUSIP: 04542BHG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       276240 | PA      | $273114.41      | 0.00%             | 2033-07-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903011 FN 12/36 FIXED 6                          | CUSIP: 31411BGU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13856 | PA      | $14564.39       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4170 FN 12/44 FIXED 4                          | CUSIP: 3138WDT43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23651 | PA      | $22800.70       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB7989 FN 02/43 FIXED 4                          | CUSIP: 31417E2X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53264 | PA      | $51832.64       | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-3                                | BEAR STEARNS ASSET BACKED SECU BSABS 2005 3 M2             | CUSIP: 073877DP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4344218 | PA      | $4396352.13     | 0.00%             | 2035-09-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A3            | CUSIP: 05949CCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       246884 | PA      | $235464.67      | 0.00%             | 2035-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2018-1R                                            | NOMURA RESECURITIZATION TRUST NMRR 2018 1R 1A1 144A        | CUSIP: 65541JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2337141 | PA      | $2266845.16     | 0.00%             | 2036-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | REPUBLIC OF TURKIYE SR UNSECURED 10/28 6.125               | CUSIP: 900123CQ1<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     76500000 | PA      | $78050192.94    | 0.04%             | 2028-10-24      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6989 FN 06/53 FIXED 5.5                        | CUSIP: 3140QSXT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6887265 | PA      | $6963130.32     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q49389 FG 07/47 FIXED 3.5                | CUSIP: 3132WPNF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        88561 | PA      | $82903.32       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MORTGAGE SECUR 2004-AA1                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AA1 M2            | CUSIP: 22541SG28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2612469 | PA      | $2619109.20     | 0.00%             | 2035-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6765 FR 08/28 FIXED 3                  | CUSIP: 3132A7QS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48097 | PA      | $47528.78       | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $544598.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 1A             | CUSIP: 23246LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17724788 | PA      | $16683157.56    | 0.01%             | 2047-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1            | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       674897 | PA      | $650716.02      | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2005-7 2005-7                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 7 2A1            | CUSIP: 07387ACY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3683576 | PA      | $2420038.29     | 0.00%             | 2035-08-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM INC 2025 TERM LOAN K                             | CUSIP: 89364MCF9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     19797815 | PA      | $19800685.90    | 0.01%             | 2030-03-22      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2016-1KRA                                                     | WIND RIVER CLO LTD WINDR 2016 1KRA A1R3 144A               | CUSIP: 97314DAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     65695487 | PA      | $65790745.83    | 0.03%             | 2034-10-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A2           | CUSIP: 44328AAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15082219 | PA      | $5392262.66     | 0.00%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH2 MV4          | CUSIP: 46630MBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2350000 | PA      | $2089506.73     | 0.00%             | 2037-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| TAUPE FUNDING TRUST I 2024-1A                                                    | TAUPE FUNDING TRUST TAUPE 2024 1A R 144A                   | CUSIP: 876692AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        95000 | PA      | $18763159.55    | 0.01%             | 2031-08-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251205                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-424833.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $3200474.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-NC1                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 NC1 M1           | CUSIP: 46626LJR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13491443 | PA      | $13947797.85    | 0.01%             | 2036-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8463 FN 07/41 FIXED 4.5                        | CUSIP: 3138ANMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156555 | PA      | $156728.57      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2003-A                                                  | EMC MORTGAGE LOAN TRUST EMCM 2003 A A1 144A                | CUSIP: 268668BS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       209809 | PA      | $212048.65      | 0.00%             | 2040-08-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2024-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2024 2 A2               | CUSIP: 26207AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24654805 | PA      | $24673207.06    | 0.01%             | 2027-12-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-7625142.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-459057.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6244 FN 09/42 FIXED 4                          | CUSIP: 31417C5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       348685 | PA      | $339316.67      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A1           | CUSIP: 92922FZE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       713329 | PA      | $685534.50      | 0.00%             | 2044-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A E 144A                       | CUSIP: ACI2V5906<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     18901000 | PA      | $25168297.57    | 0.01%             | 2056-08-28      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2C               | CUSIP: 61750MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22724146 | PA      | $9802989.60     | 0.00%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9580 FN 04/47 FIXED 3.5                        | CUSIP: 3138WKUE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       666306 | PA      | $626773.91      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848577 FN 12/35 FLOATING VAR                     | CUSIP: 31408DXE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11624 | PA      | $11728.14       | 0.00%             | 2035-12-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-4                                                 | AEGIS ASSET BACKED SECURITIES AABST 2004 4 M1              | CUSIP: 00764MCT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       245886 | PA      | $301076.76      | 0.00%             | 2034-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 2A4            | CUSIP: 68403HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6749785 | PA      | $3648131.79     | 0.00%             | 2037-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-CES1                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2024 CES1 A1 144A      | CUSIP: 281907AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15055239 | PA      | $15185662.72    | 0.01%             | 2060-01-26      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2808 FN 11/46 FIXED 4                          | CUSIP: 31418CDN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3721249 | PA      | $3579742.08     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $534.91         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 468309 GN 02/28 FIXED 6.49                       | CUSIP: 36209DGS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13988 | PA      | $14131.62       | 0.00%             | 2028-02-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3521 G2 03/46 FIXED 3.5                     | CUSIP: 36179R4E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21123 | PA      | $19631.69       | 0.00%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-34A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 34A 2A2           | CUSIP: 86359A4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       423024 | PA      | $410677.29      | 0.00%             | 2033-11-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2005-BC4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC4 M8             | CUSIP: 1266737G1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3250000 | PA      | $3169519.28     | 0.00%             | 2035-08-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 01/18/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2542072.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0023 FN 04/53 FIXED 6.5                        | CUSIP: 3140NGAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26179 | PA      | $27302.20       | 0.00%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CUMULUS STATIC CLO 2024-1 DAC 24-1A                                              | CUMULUS STATIC CLO CMLST 2024 1A A 144A                    | CUSIP: ACI2NK2H2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     51076664 | PA      | $59995662.76    | 0.03%             | 2033-11-15      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A3              | CUSIP: 12669VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       669565 | PA      | $666625.60      | 0.00%             | 2047-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR13                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR13 A3           | CUSIP: 45661XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4155962 | PA      | $2697712.40     | 0.00%             | 2036-07-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0452 FN 09/47 FIXED 3.5                        | CUSIP: 3140Q7QE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21355812 | PA      | $19927327.61    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUUNDING TRUST 2006-AR4                                          | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR4 A4A           | CUSIP: 39539FAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4468062 | PA      | $3602518.13     | 0.00%             | 2046-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                                     | CIFI HOLDINGS GROUP COMPANY GUAR REGS 05/26 5.25           | CUSIP: ACI1SPDG8<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |      2200000 | PA      | $209000.00      | 0.00%             | 2026-05-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-6HE                                                   | TERWIN MORTGAGE TRUST TMTS 2005 6HE M5                     | CUSIP: 881561RD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       291573 | PA      | $292153.49      | 0.00%             | 2036-04-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/47 2.75                                 | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       100000 | PA      | $72308.59       | 0.00%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-8                                                | VERUS SECURITIZATION TRUST VERUS 2023 8 A1 144A            | CUSIP: 92540DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14331525 | PA      | $14498038.59    | 0.01%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5037 FR 03/40 FIXED 2.5                | CUSIP: 3133KYS26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6229 | PA      | $5680.80        | 0.00%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2004-FF8                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF8 M3             | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       708508 | PA      | $713079.02      | 0.00%             | 2034-10-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6137 FN 01/48 FIXED 3.5                        | CUSIP: 3140H7ZB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1878225 | PA      | $1745021.48     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                   | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      6900000 | PA      | $7011486.47     | 0.00%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-10091997.53   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-24499.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SC0084 FR 10/40 FIXED 2.5                | CUSIP: 3132D9CV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50464930 | PA      | $45443211.94    | 0.02%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A9          | CUSIP: 12667GKJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        96622 | PA      | $71959.53       | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $3686.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260108                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-843457.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 2A2                 | CUSIP: 466247J53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       246353 | PA      | $215893.36      | 0.00%             | 2036-04-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-7795761.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-H                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 H 2A5            | CUSIP: 05949CGA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123555 | PA      | $108790.52      | 0.00%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A            | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       122686 | PA      | $117162.00      | 0.00%             | 2035-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 2A1            | CUSIP: 007036TD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3778629 | PA      | $2832784.86     | 0.00%             | 2036-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR1                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR1 M1            | CUSIP: 81375WJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24158989 | PA      | $20763170.48    | 0.01%             | 2035-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6596 FN 05/53 FIXED 5.5                        | CUSIP: 3140QSKJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11591365 | PA      | $11745894.38    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $382923.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                                             | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A A 144A        | CUSIP: 07325QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3217025 | PA      | $3245505.65     | 0.00%             | 2037-03-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB2             | CUSIP: 05950BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8829 | PA      | $7727.47        | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 784345 G2 07/47 FIXED 3.5                     | CUSIP: 3622A2ZJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85206055 | PA      | $80717161.99    | 0.04%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-1                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 CB1             | CUSIP: 007036AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1072016 | PA      | $992778.87      | 0.00%             | 2035-01-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 A2 144A         | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8410536 | PA      | $8490287.61     | 0.00%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W3                                                    | ARGENT SECURITIES INC. ARSI 2005 W3 M2                     | CUSIP: 040104PD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25774000 | PA      | $22966543.85    | 0.01%             | 2035-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                                    | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5            | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |     17914094 | PA      | $0.18           | 0.00%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4748 FR 12/47 FIXED 4                  | CUSIP: 3132A5HZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       113310 | PA      | $108959.57      | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 WF2 M4            | CUSIP: 86359DDE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       446856 | PA      | $447364.62      | 0.00%             | 2035-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $695364.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-17                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 17 1A1           | CUSIP: 12667GRV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1236584 | PA      | $1128059.09     | 0.00%             | 2035-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1801 FN 10/47 FIXED 3.5                        | CUSIP: 3140H3AB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       532195 | PA      | $494451.88      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A4 144A       | CUSIP: 14688GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20000000 | PA      | $20525362.00    | 0.01%             | 2029-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-5                                                 | CONSECO FINANCIAL CORP GT 1999 5 A5                        | CUSIP: 3935053P5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11106276 | PA      | $3084099.57     | 0.00%             | 2030-03-01      | Fixed         | 7.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3190 FN 11/27 FIXED 3                          | CUSIP: 31418CRL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23102 | PA      | $22860.51       | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $77252.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-WF4                                             | STRUCTURED ASSET SECURITIES CO SASC 2005 WF4 M7            | CUSIP: 863576DM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2964669.60     | 0.00%             | 2035-11-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                                   | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                    | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3049757 | PA      | $2749765.95     | 0.00%             | 2037-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 07/12/24-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2077541.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2014-R8                                    | MORGAN STANLEY REREMIC TRUST MSRR 2014 R8 3B2 144A         | CUSIP: 61764KAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33860080 | PA      | $29756150.05    | 0.01%             | 2047-06-26      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP-2006-ASP4                                                    | ACE SECURITIES CORP. ACE 2006 ASP4 A2D                     | CUSIP: 00441UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6723181 | PA      | $6045490.69     | 0.00%             | 2036-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q56606 FG 06/48 FIXED 3.5                | CUSIP: 3132Y0KU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        66444 | PA      | $61392.20       | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A2A          | CUSIP: 17311WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       790254 | PA      | $690040.70      | 0.00%             | 2037-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                              | POSEIDON BIDCO SASU 2023 EUR TERM LOAN B                   | CUSIP: 953RGXII1<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |    235200000 | PA      | $129784256.45   | 0.06%             | 2030-11-30      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 12 M3              | CUSIP: 126670EM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4982540 | PA      | $4972845.03     | 0.00%             | 2036-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/27 VAR                  | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       900000 | PA      | $947880.00      | 0.00%             | 2027-06-06      | Floating      | 13.71%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS3                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS3 M5            | CUSIP: 76112BLM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        88566 | PA      | $88611.35       | 0.00%             | 2035-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC COMPANY GUAR 144A 02/33 2.6                   | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     26905000 | PA      | $23627892.71    | 0.01%             | 2033-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL1 C 144A          | CUSIP: 52472WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           52 | PA      | $0.01           | 0.00%             | 2070-01-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WWF1                                              | PARK PLACE SECURITIES INC PPSI 2004 WWF1 M5                | CUSIP: 70069FDN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10918786 | PA      | $10925282.07    | 0.01%             | 2034-12-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260630                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $18360.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AFC HOME EQUITY LOAN TRUST 1998-3                                                | AFC HOME EQUITY LOAN TRUST AFC 1998 3 2A1                  | CUSIP: 00105HDR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12455 | PA      | $12414.43       | 0.00%             | 2028-09-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8691 FR 02/53 FIXED 5.5                | CUSIP: 3133BWUQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       577411 | PA      | $586446.08      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                     | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/26 6           | CUSIP: ACI2L7N56<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       684071 | PA      | $102939.00      | 0.00%             | 2026-09-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1704 FN 12/47 FIXED 4                          | CUSIP: 3140H23N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1149701 | PA      | $1105556.76     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8036 FR 03/35 FIXED 3                  | CUSIP: 3132D54V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30989 | PA      | $29857.38       | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4118 FN 08/50 FIXED 4.5                        | CUSIP: 31418DSG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15563 | PA      | $15209.19       | 0.00%             | 2050-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-2                                                   | LUMINENT MORTGAGE TRUST LUM 2006 2 A1A                     | CUSIP: 550279BA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16920510 | PA      | $12193322.27    | 0.01%             | 2046-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH4565 FN 03/26 FIXED 3.5                        | CUSIP: 3138A6CB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          904 | PA      | $900.05         | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $15003.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A1                     | CUSIP: 12544RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2875468 | PA      | $1173578.67     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 1A             | CUSIP: 542514RH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6596470 | PA      | $6527754.93     | 0.00%             | 2036-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A2               | CUSIP: 12638PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10881340 | PA      | $2650407.09     | 0.00%             | 2037-04-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8326 FN 11/46 FIXED 4                          | CUSIP: 3138WJHC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53492 | PA      | $51474.62       | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83496 FG 10/47 FIXED 3.5                | CUSIP: 3132L83D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41989 | PA      | $39087.48       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A8CB                                 | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A8CB A7           | CUSIP: 45660LSV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2764089 | PA      | $1225776.79     | 0.00%             | 2035-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A A2 144A              | CUSIP: 193938AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34045648 | PA      | $34475583.64    | 0.02%             | 2055-05-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $802601.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF3276 FR 11/52 FIXED 5.5                | CUSIP: 3133BQT97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       208403 | PA      | $211077.30      | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2022-3A                                         | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2022 3A A 144A        | CUSIP: 68269PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1126086 | PA      | $1133008.48     | 0.00%             | 2034-05-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-2                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2006 2 M3              | CUSIP: 9497EAAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6795000 | PA      | $6733690.07     | 0.00%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| DUKE FUNDING LTD 2005-HG3A                                                       | DUKE FUNDING LTD DUKEF 2005 HG3A A1B1 144A                 | CUSIP: 2644EPAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    776047403 | PA      | $6083435.59     | 0.00%             | 2049-08-02      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1           | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       255100 | PA      | $239987.66      | 0.00%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX5193 FR 02/55 FIXED 7                  | CUSIP: 31426AXX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13776301 | PA      | $14451338.68    | 0.01%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 1A1A           | CUSIP: 41161QAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       237523 | PA      | $95317.39       | 0.00%             | 2036-06-19      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-645116.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 10/27 VAR                                     | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     28400000 | PA      | $29049641.20    | 0.01%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84748 FG 10/48 FIXED 3.5                | CUSIP: 3132LAHZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1288311 | PA      | $1191791.19     | 0.00%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP MYC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1.89           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 1 M2                   | CUSIP: 07386HQJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3889280 | PA      | $3714590.48     | 0.00%             | 2035-01-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/31 4               | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5300000 | PA      | $5077256.37     | 0.00%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2384 FN 12/41 FIXED VAR                        | CUSIP: 3138EJUJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10499351 | PA      | $10230296.53    | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-578441.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2295 FN 02/26 FIXED 3                          | CUSIP: 31416XRR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1954 | PA      | $1944.93        | 0.00%             | 2026-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3284                                                                 | FREDDIE MAC FHR 3284 BI                                    | CUSIP: 31397FL34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       703689 | PA      | $67945.49       | 0.00%             | 2037-03-15      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA SR UNSECURED 04/27 4.25                 | CUSIP: 05964HAB1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     28400000 | PA      | $28442440.96    | 0.01%             | 2027-04-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080022 G2 12/26 FLOATING VAR                  | CUSIP: 36225CAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          148 | PA      | $148.59         | 0.00%             | 2026-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-C                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 C 3A4            | CUSIP: 43709BAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12332306 | PA      | $11574953.62    | 0.01%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC2                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC2 A2            | CUSIP: 86358EAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91107 | PA      | $98930.94       | 0.00%             | 2033-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S3 1A18          | CUSIP: 16163HAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       502815 | PA      | $209696.14      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 1A1          | CUSIP: 83613DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1282384 | PA      | $1143240.32     | 0.00%             | 2037-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4873 FN 03/46 FIXED 3.5                        | CUSIP: 3140F0MX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       115012 | PA      | $107807.74      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-9                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 9 B1                      | CUSIP: 81744FEA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28659 | PA      | $22440.35       | 0.00%             | 2034-10-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CLARITEV CORPORATION                                                             | CLARITEV CORP SR SECURED 144A 03/31 6.75                   | CUSIP: 62548MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34224792 | PA      | $26609775.78    | 0.01%             | 2031-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256556 FN 01/27 FIXED 6                          | CUSIP: 31371M5R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4142 | PA      | $4230.14        | 0.00%             | 2027-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $49812.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC3176 FN 03/46 FIXED 3.5                        | CUSIP: 3140EXQ63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1666427 | PA      | $1562726.53     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9485 FN 04/47 FIXED 3.5                        | CUSIP: 3138WKRF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49378 | PA      | $46156.79       | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY ALT MTGE LN 2006-ALT1                                                | NEW CENTURY ALTERNATIVE MORTGA NCAMT 2006 ALT1 AF6         | CUSIP: 643528AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1024725 | PA      | $199810.30      | 0.00%             | 2036-07-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| ICG US CLO LTD 2021-1A                                                           | ICG US CLO LTD ICG 2021 1A A1R 144A                        | CUSIP: 449303AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12100000 | PA      | $12117410.57    | 0.01%             | 2034-04-17      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA A 144A                       | CUSIP: ACI2N0NS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    721666972 | PA      | $973483856.28   | 0.48%             | 2054-05-28      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-1                                                | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 1 A2 144A             | CUSIP: 33843VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14796694 | PA      | $14848899.38    | 0.01%             | 2028-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5319 FN 07/47 FIXED 4                          | CUSIP: 3140GT4D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3367098 | PA      | $3229877.04     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS2248 FR 08/37 FIXED 6.5                | CUSIP: 3132A2P97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2441 | PA      | $2537.51        | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 12A1           | CUSIP: 07401CAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2673340 | PA      | $2338730.72     | 0.00%             | 2037-05-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH2 M2           | CUSIP: 17312BAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18352936 | PA      | $18415431.38    | 0.01%             | 2037-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GOLDEN BAR SECURITISATION SRL 2023-2 23-2                                        | GOLDEN BAR SECURITISATION GOLDB 2023 2 A REGS              | CUSIP: ACI2KTMD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |     16227103 | PA      | $19181486.21    | 0.01%             | 2043-09-22      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI A 144A         | CUSIP: 12652FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8800000 | PA      | $7044400.00     | 0.00%             | 2032-11-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A          | CUSIP: 126680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4384319 | PA      | $4072437.47     | 0.00%             | 2047-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF9                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF9 M1             | CUSIP: 32027NVZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5956803 | PA      | $7036206.67     | 0.00%             | 2035-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH5614 FN 02/26 FIXED 3.5                        | CUSIP: 3138A7GY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6060 | PA      | $6035.20        | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6983 FN 03/53 FIXED 5.5                        | CUSIP: 3140NBXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       778307 | PA      | $789090.95      | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                             | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC2 A1 144A           | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       765962 | PA      | $770148.50      | 0.00%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B D 144A           | CUSIP: 78449HAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64173000 | PA      | $66677672.19    | 0.03%             | 2056-10-16      | Fixed         | 7.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-1331770.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-9443007.68    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| BANK OF AMERICA ALT LN TRUST 2004-6                                              | BANC OF AMERICA ALTERNATIVE LO BOAA 2004 6 1A1             | CUSIP: 05948KTE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4660218 | PA      | $4686041.66     | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1870 FN 05/27 FIXED VAR                        | CUSIP: 3138EJCG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3426 | PA      | $3393.48        | 0.00%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $133642.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251121                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1810380.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CALI MORTGAGE TRUST 2019-101C                                                    | CALI MORTGAGE TRUST 2019 101C CALI 2019 101C A 144A        | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9000000 | PA      | $8639678.70     | 0.00%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-FM1                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 FM1 2A4             | CUSIP: 65536HBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6798005 | PA      | $6592536.10     | 0.00%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV6321 FN 01/29 FIXED 3.5                        | CUSIP: 3138XJAX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60656 | PA      | $59897.74       | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 031848 FN 08/26 FLOATING VAR                     | CUSIP: 31361HL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          106 | PA      | $105.42         | 0.00%             | 2026-08-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6922 FN 04/46 FIXED 3.5                        | CUSIP: 3138WGVQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54605 | PA      | $51184.92       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $4053945.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-2                                        | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 2 A 144A          | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20700000 | PA      | $20886771.96    | 0.01%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2484 FN 12/45 FIXED 4                          | CUSIP: 31418BXN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       117722 | PA      | $113343.30      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0227 FN 02/48 FIXED 3.5                        | CUSIP: 3140HDHD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2519618 | PA      | $2333904.73     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0957 FN 11/47 FIXED 3.5                        | CUSIP: 3140H2B31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126638 | PA      | $118429.23      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 739758 FN 08/33 FLOATING VAR                     | CUSIP: 31402VZX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3935 | PA      | $3988.54        | 0.00%             | 2033-08-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6672 FR 01/53 FIXED 5.5                | CUSIP: 3133BUMV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       513508 | PA      | $520432.93      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA4                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA4 A             | CUSIP: 748939AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4905237 | PA      | $4494390.73     | 0.00%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL4                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL4 A1A 144A    | CUSIP: 16160NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13624970 | PA      | $12357311.94    | 0.01%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7348 FN 06/46 FIXED 3.5                        | CUSIP: 3138WHEW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11922 | PA      | $11171.56       | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A1            | CUSIP: 25151RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2184634 | PA      | $2082160.12     | 0.00%             | 2047-01-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR1 2A1A                | CUSIP: 23332UCM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       471614 | PA      | $470109.92      | 0.00%             | 2045-02-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A4         | CUSIP: 02146XAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2958280 | PA      | $1210612.58     | 0.00%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2006-3                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2006 3 A3             | CUSIP: 61749GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6465499 | PA      | $4524629.58     | 0.00%             | 2036-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST-2004-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 7 2A1                  | CUSIP: 07386HKK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       430080 | PA      | $421934.69      | 0.00%             | 2034-08-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY 144A 10/27 VAR                     | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     30400000 | PA      | $31096412.93    | 0.02%             | 2027-10-18      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 607478 FN 09/31 FLOATING VAR                     | CUSIP: 31388K2K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26172 | PA      | $26633.61       | 0.00%             | 2031-09-01      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22902.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7493 FN 07/46 FIXED 4                          | CUSIP: 3138WHKF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141596 | PA      | $136211.77      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A2            | CUSIP: 93935BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1348457 | PA      | $284637.32      | 0.00%             | 2036-07-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3716 FN 12/52 FIXED 5.5                        | CUSIP: 3140N8DW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17311001 | PA      | $17539191.94    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C4                               | JPMDB COMMERCIAL MORTGAGE SECU JPMDB 2016 C4 XA            | CUSIP: 46646RAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147871465 | PA      | $674841.01      | 0.00%             | 2049-12-15      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                                         | WOODSIDE FINANCE LTD WOODSIDE FINANCE LTD                  | CUSIP: 980236AR4<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |     48000000 | PA      | $47655552.00    | 0.02%             | 2034-09-12      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-SD1                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 SD1 A1            | CUSIP: 590232AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22008787 | PA      | $13052313.30    | 0.01%             | 2047-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 B1 144A         | CUSIP: 52473LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133365242 | PA      | $112532791.01   | 0.06%             | 2056-12-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A1 144A      | CUSIP: 17312TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29128459 | PA      | $19678327.71    | 0.01%             | 2037-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-3                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 3 2A2 144A         | CUSIP: 74930NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7740486 | PA      | $5988227.82     | 0.00%             | 2037-02-26      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL5                                    | GSMBS 2025 RPL5 PT 144A                                    | CUSIP: 990AARZY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365219590 | PA      | $328986676.74   | 0.16%             | 2075-09-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005-9                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 9 2A1             | CUSIP: 2254585R5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2278995 | PA      | $842180.65      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 2A2A          | CUSIP: 172987AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1140161 | PA      | $983410.44      | 0.00%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                      | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A A 144A          | CUSIP: ACI2NCB49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     26342548 | PA      | $35461405.46    | 0.02%             | 2050-06-28      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB2 1A2                  | CUSIP: 12669GWS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       237615 | PA      | $233130.58      | 0.00%             | 2035-05-20      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1                                    | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A1 144A       | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       328377 | PA      | $328833.83      | 0.00%             | 2051-07-25      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2654 FN 11/27 FIXED VAR                        | CUSIP: 3138EJ5Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73241 | PA      | $72517.21       | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR14                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR14 2A2A         | CUSIP: 45660LAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1201727 | PA      | $927620.51      | 0.00%             | 2035-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-33                                                               | FANNIE MAE FNR 2002 33 A1                                  | CUSIP: 31392DGS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47967 | PA      | $48737.63       | 0.00%             | 2032-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.65000 02/08/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-22061748.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 4A1           | CUSIP: 12668AQH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3360758 | PA      | $2992567.54     | 0.00%             | 2035-11-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $2590.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-2 2018-2A                               | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 2A B4C 144A        | CUSIP: 64828CDL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5790113 | PA      | $5629601.71     | 0.00%             | 2058-02-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF3143 FR 11/52 FIXED 6.5                | CUSIP: 3133BQP42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1027493 | PA      | $1076059.69     | 0.00%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 B3 144A        | CUSIP: 12653HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104500241 | PA      | $44805889.18    | 0.02%             | 2057-07-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8309 FR 03/53 FIXED 6                  | CUSIP: 3132DWGS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22780425 | PA      | $23375879.02    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 15 A8                     | CUSIP: 12669GR45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1144580 | PA      | $583892.34      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CLP BOUGHT USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |            1 | NC      | $-68971.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 B 144A        | CUSIP: 17329YAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36467906 | PA      | $20726724.01    | 0.01%             | 2061-05-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-11                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 11 1A1            | CUSIP: 86364YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8091748 | PA      | $6910727.70     | 0.00%             | 2037-12-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4117 FN 11/47 FIXED 4.5                        | CUSIP: 3140H5SF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2231 | PA      | $2203.16        | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-12                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 12 2A1                    | CUSIP: 36242DKU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       353289 | PA      | $46050.60       | 0.00%             | 2034-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPT CORP 2006-AR3                                                | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR3 A1A            | CUSIP: 65537EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1808474 | PA      | $1551340.84     | 0.00%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1948 FN 05/52 FIXED VAR                        | CUSIP: 3140XHEW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       762956 | PA      | $720320.30      | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A C 144A                                | CUSIP: ACI2J99L6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     18535000 | PA      | $25125822.15    | 0.01%             | 2050-11-28      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                          | SCLP 2025 C C 144A SCLP 2025 C C 144A                      | CUSIP: 990AAWLY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13240000 | PA      | $13183797.26    | 0.01%             | 2034-09-09      | Fixed         | 4.93%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6138 FN 08/47 FIXED 4                          | CUSIP: 3140GUZC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2712170 | PA      | $2608310.36     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190301 FN 04/29 FIXED VAR                        | CUSIP: 31368HKN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          233 | PA      | $240.99         | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7204 FN 11/25 FIXED 3.5                        | CUSIP: 31419JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1256 | PA      | $1252.07        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345              | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     74963000 | PA      | $73605140.46    | 0.04%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M3             | CUSIP: 68389FJK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5889000 | PA      | $5124920.51     | 0.00%             | 2035-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC4                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC4 M5           | CUSIP: 76112BC81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8230060 | PA      | $8112705.29     | 0.00%             | 2035-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-E                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 7A1             | CUSIP: 05946XXT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11189 | PA      | $10255.57       | 0.00%             | 2035-06-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC 2022-NQM7                                               | ONSLOW BAY FINANCIAL LLC OBX 2022 NQM7 A1 144A             | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15954700 | PA      | $15947810.58    | 0.01%             | 2062-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-5                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 5 M3             | CUSIP: 68389FKA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8709000 | PA      | $7724083.51     | 0.00%             | 2035-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8277 FR 12/52 FIXED 5.5                | CUSIP: 3132DWFS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       824550 | PA      | $836691.60      | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-30                                                               | FANNIE MAE FNR 2007 30 JS                                  | CUSIP: 31396VHR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       981590 | PA      | $121707.64      | 0.00%             | 2037-04-25      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-1                                          | THORNBURG MORTGAGE SECURITIES TMST 2004 1 I1A              | CUSIP: 885220ET6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24664 | PA      | $24086.66       | 0.00%             | 2044-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK2919 FR 01/26 FIXED 3                  | CUSIP: 3131X6G46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           89 | PA      | $88.37          | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 3 B              | CUSIP: 80285XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57151611 | PA      | $57449325.59    | 0.03%             | 2028-07-17      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 4A1                   | CUSIP: 36242DH97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        47155 | PA      | $45425.53       | 0.00%             | 2035-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251030                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $230402.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $93372417.30    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA5517 FN 04/50 FIXED 3                          | CUSIP: 3140QDDX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     91925785 | PA      | $82292020.33    | 0.04%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.51400 09/04/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $774322.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3                      | DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1             | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22530334 | PA      | $17413764.75    | 0.01%             | 2047-10-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0703 FN 12/25 FIXED VAR                        | CUSIP: 31419AX93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          270 | PA      | $269.16         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2940 FN 11/27 FIXED VAR                        | CUSIP: 3138EKHS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13188 | PA      | $13102.50       | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5907 FN 02/48 FIXED 3.5                        | CUSIP: 3140H7R58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231986 | PA      | $214742.11      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 21 A2                     | CUSIP: 126694CE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        67112 | PA      | $35691.65       | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 SA 144A        | CUSIP: 12597GBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       307412 | PA      | $299033.26      | 0.00%             | 2059-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9149 FN 01/45 FIXED 3.5                        | CUSIP: 3138YBEX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35189 | PA      | $33100.61       | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6120 FN 01/53 FIXED 6                          | CUSIP: 3140NAYS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       731073 | PA      | $750030.90      | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6185 FN 02/53 FIXED 5.5                        | CUSIP: 3140NA2T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42211 | PA      | $43196.03       | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KENTMERE PLC 3A                                                                  | KENTMERE KMR 3A Y 144A                                     | CUSIP: ACI2RTSH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9500000 | PA      | $10179938.34    | 0.01%             | 2051-01-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI1 144A      | CUSIP: 760985X89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1044755 | PA      | $1054176.50     | 0.00%             | 2034-04-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2010-8R                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 8R 10AC 144A        | CUSIP: 12644KAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7801330 | PA      | $4459643.80     | 0.00%             | 2047-04-26      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL AZ0161 G2 08/47 FIXED 3.5                     | CUSIP: 36197CFA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       223532 | PA      | $206798.15      | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-2                                                                | FANNIE MAE FNR 2010 2 LS                                   | CUSIP: 31398G7B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       391438 | PA      | $34443.61       | 0.00%             | 2037-05-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-735100.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE FUNDING LN ACQUI TRUST 2003-C1                                             | CHASE FUNDING LOAN ACQUISITION CFLAT 2003 C1 1A4           | CUSIP: 161542CN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       478328 | PA      | $478666.63      | 0.00%             | 2032-12-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 07/30 7.5                | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     90700000 | PA      | $95255588.90    | 0.05%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3099 FN 01/41 FIXED 4                          | CUSIP: 3138A4NR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17862 | PA      | $17400.95       | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9764 FN 12/47 FIXED 4                          | CUSIP: 3140GYZ69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       257321 | PA      | $247251.90      | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $657408.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $6.05           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $150025.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9285 FN 10/46 FIXED VAR                        | CUSIP: 3138ERJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       315956 | PA      | $296282.80      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.39000 10/01/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $723031.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A2             | CUSIP: 78420MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13298374 | PA      | $12272652.79    | 0.01%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY5272 FN 06/53 FIXED 6                          | CUSIP: 3140NM2E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       302440 | PA      | $311684.71      | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A10                                             | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A10 A1            | CUSIP: 45660LXK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18597628 | PA      | $8012084.83     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-6                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 6 3A1             | CUSIP: 86364CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23543 | PA      | $14699.44       | 0.00%             | 2037-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -157150000 | PA      | $-132422777.52  | -0.07%            | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 22A            | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9341 | PA      | $9148.40        | 0.00%             | 2034-05-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7358 FN 04/55 FIXED 6.5                        | CUSIP: 3140B8E80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999900 | PA      | $1037974.84     | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-3                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 3 M5             | CUSIP: 64352VLN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8527865 | PA      | $8504078.14     | 0.00%             | 2035-07-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251215                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-38259.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 4A1          | CUSIP: 02150QAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1363223 | PA      | $1308086.81     | 0.00%             | 2037-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR2 A1            | CUSIP: 86359LSM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11213859 | PA      | $10489042.45    | 0.01%             | 2036-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2296                                                                 | FREDDIE MAC FHR 2296 PD                                    | CUSIP: 3133TRUS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4461 | PA      | $4638.00        | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA7 A21           | CUSIP: 76110H7B9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       664939 | PA      | $628796.10      | 0.00%             | 2035-07-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA2                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA2 A1            | CUSIP: 25150UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13779126 | PA      | $12487834.43    | 0.01%             | 2047-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q49631 FG 07/47 FIXED 4                  | CUSIP: 3132WPVZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3255870 | PA      | $3108367.31     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2753 FN 06/45 FIXED 4.5                        | CUSIP: 3138YUBX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45913 | PA      | $45390.45       | 0.00%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2024-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2024 2 A3               | CUSIP: 26207AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34300000 | PA      | $34353528.58    | 0.02%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $4221800.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2005 NC2 M6                | CUSIP: 61744CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2525671 | PA      | $2293358.61     | 0.00%             | 2035-03-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO X 2020-10A                                                      | OCEAN TRAILS CLO OCTR 2020 10A BR2 144A                    | CUSIP: 67516CAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7750000 | PA      | $7764980.83     | 0.00%             | 2034-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-1                                              | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 2A4              | CUSIP: 65538NAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37941 | PA      | $39208.20       | 0.00%             | 2037-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1189 FN 02/48 FIXED 3.5                        | CUSIP: 3140Q8KB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       675247 | PA      | $626644.25      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EQUINIX INC SNR S* SP GST                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1395109.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZJ0481 FR 09/40 FIXED 4                  | CUSIP: 3131WQRA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       190653 | PA      | $185964.38      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-34512.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $137908.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-6                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 6 M1             | CUSIP: 542514JM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3089292 | PA      | $2960388.72     | 0.00%             | 2034-11-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| MERCURY CDO LTD 2004-1A                                                          | MERCURY CDO LTD MRCY 2004 1A B 144A                        | CUSIP: 58936RAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6000000 | PA      | $161334.00      | 0.00%             | 2040-12-08      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-7                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2023 7 A1 144A               | CUSIP: 03466DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29230320 | PA      | $29103579.97    | 0.01%             | 2067-11-25      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST 2024-B                                                    | TESLA AUTO LEASE TRUST TESLA 2024 B A2A 144A               | CUSIP: 881934AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14275369 | PA      | $14290429.17    | 0.01%             | 2027-01-20      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AC4                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AC4 A1           | CUSIP: 07378RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21588001 | PA      | $16891943.96    | 0.01%             | 2037-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A        | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26894655 | PA      | $23708340.57    | 0.01%             | 2046-12-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2007 1 21A1                 | CUSIP: 07386XAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1485407 | PA      | $722822.83      | 0.00%             | 2047-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5              | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     18037000 | PA      | $15704385.90    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM6 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM6 A1 144A             | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22385958 | PA      | $22590861.08    | 0.01%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-440644.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANYON CLO 2020-1 LTD                                                            | CANYON CAPITAL CLO LTD CANYC 2020 1A AR2 144A              | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4400000 | PA      | $4403990.32     | 0.00%             | 2034-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| SYCAMORE TREE CLO 2023-2A LTD                                                    | SYCAMORE TREE CLO LTD STCP 2023 2A AR 144A                 | CUSIP: 87122CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     79000000 | PA      | $79367053.75    | 0.04%             | 2037-01-20      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 B1 144A        | CUSIP: 12660QAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14910250 | PA      | $12347206.35    | 0.01%             | 2061-02-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A5             | CUSIP: 55275RAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8089878 | PA      | $3874595.46     | 0.00%             | 2036-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A1 144A       | CUSIP: 81377JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65341288 | PA      | $23680551.79    | 0.01%             | 2036-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 AFPT            | CUSIP: 617463AP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7640321 | PA      | $2458236.49     | 0.00%             | 2036-11-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA3092 FN 02/49 FIXED 4.5                        | CUSIP: 3140QANJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47795 | PA      | $47110.07       | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-8                                                    | GSAA HOME EQUITY TRUST GSAA 2006 8 2A1                     | CUSIP: 362348AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5950011 | PA      | $1233571.72     | 0.00%             | 2036-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-376492.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2624 FN 05/46 FIXED 4                          | CUSIP: 31418B4J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       217616 | PA      | $210024.68      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW0777 FN 03/44 FIXED 4.5                        | CUSIP: 3138XP2K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65207 | PA      | $64756.00       | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0832 FN 07/45 FIXED 4                          | CUSIP: 3138YR4S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        88871 | PA      | $85657.19       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                         | IHEARTCOMMUNICATIONS INC 2024 TERM LOAN                    | CUSIP: 45174UAJ7<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |      1989157 | PA      | $1742998.44     | 0.00%             | 2029-05-01      | Floating      | 10.05%                | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2024-D OWNER TRUST                                       | TOYOTA AUTO RECEIVABLES OWNER TAOT 2024 D A3               | CUSIP: 89239TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56100000 | PA      | $56507521.62    | 0.03%             | 2029-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH8812 FN 03/26 FIXED 4                          | CUSIP: 3138AAYJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          142 | PA      | $141.68         | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                       | HARDWOOD FUNDING LLC CORP0HRD7                             | CUSIP: 955NUHII7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18500000 | PA      | $18740531.64    | 0.01%             | 2028-06-07      | Fixed         | 4.84%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-30Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $20376461.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2012-3                                                         | JP MORGAN REREMIC JPMRR 2012 3 A9 144A                     | CUSIP: 46637RAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6702510 | PA      | $6549638.21     | 0.00%             | 2036-11-26      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC-2006-HE3                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE3 M2           | CUSIP: 07387UHT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13411111 | PA      | $13224566.14    | 0.01%             | 2036-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A4 144A         | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5035983 | PA      | $5098543.25     | 0.00%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-1                                | BEAR STEARNS ASSET BACKED SECU BSABS 2007 1 A3             | CUSIP: 073860AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       789168 | PA      | $789079.32      | 0.00%             | 2037-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                                    | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR          | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |      2400000 | PA      | $2840826.91     | 0.00%             | 2029-01-17      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS JPY MUT+5.89/0.0000 03/20/22-5Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $8646874.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG5388 G2 05/48 FIXED 4                       | CUSIP: 3617GP6Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       651194 | PA      | $616005.98      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 20060BNC1                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC1 A5           | CUSIP: 86358EC95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000000 | PA      | $5111406.00     | 0.00%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1495 FR 02/55 FIXED 7                  | CUSIP: 31427NUV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999901 | PA      | $1047258.46     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $23129.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-OPT1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT1 M1           | CUSIP: 17307GNR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1028263 | PA      | $965551.73      | 0.00%             | 2035-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-12CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 12CB A5          | CUSIP: 12668BXA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5362231 | PA      | $2654643.11     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5211 FN 06/45 FIXED 4                          | CUSIP: 3138WEYH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       128003 | PA      | $123282.24      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                                              | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M4                | CUSIP: 70069FEL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10653485 | PA      | $10521450.23    | 0.01%             | 2035-02-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A4                 | CUSIP: 466247E90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       129691 | PA      | $89967.92       | 0.00%             | 2036-02-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2007-BC2               | SPECIALTY UNDERWRITING + RESID SURF 2007 BC2 A2C           | CUSIP: 84752EAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2155353 | PA      | $1588119.26     | 0.00%             | 2037-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D B1              | CUSIP: 06051GDQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6752 | PA      | $6199.33        | 0.00%             | 2035-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3858 FN 02/50 FIXED VAR                        | CUSIP: 3140X7JC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     99918121 | PA      | $89481699.18    | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX2464 FN 12/52 FIXED 5.5                        | CUSIP: 3140N6W24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3818128 | PA      | $3871207.38     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08619 FG 12/44 FIXED 3                  | CUSIP: 3128MJVM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60546 | PA      | $55408.32       | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                    | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     52700000 | PA      | $1282869.77     | 0.00%             | 2026-08-19      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.6* 10/01/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $22300283.83    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 2A1A          | CUSIP: 41161PYW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        72244 | PA      | $73328.12       | 0.00%             | 2036-01-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6739 FN 10/43 FIXED 3.5                        | CUSIP: 3138X6PZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4219 | PA      | $3980.28        | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3826 FN 11/29 FIXED 3                          | CUSIP: 31418DHC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3140 | PA      | $3094.55        | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2019-1735                                                    | DBGS MORTGAGE TRUST DBGS 2019 1735 A 144A                  | CUSIP: 23307EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2690000 | PA      | $2541768.36     | 0.00%             | 2037-04-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2101 FN 11/46 FIXED 3.5                        | CUSIP: 3140FMKP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77094 | PA      | $73877.23       | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251112                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $503410.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-11CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 11CB 3A1         | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2517411 | PA      | $1133190.21     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM1                                                     | ACE SECURITIES CORP. ACE 2006 FM1 A2C                      | CUSIP: 00441VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9287612 | PA      | $2272188.29     | 0.00%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 02/35 5.625                   | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    208300000 | PA      | $215735470.55   | 0.11%             | 2035-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR4                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR4 1A1           | CUSIP: 39538WBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       151373 | PA      | $148891.32      | 0.00%             | 2045-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7690 FN 01/47 FIXED 2.5                        | CUSIP: 3140FFRL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125207 | PA      | $109185.45      | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251117                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $70791.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 1A4           | CUSIP: 16163EAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       686626 | PA      | $360885.54      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-A                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 A A1                 | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       194455 | PA      | $180141.97      | 0.00%             | 2029-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.53500 11/06/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5424594.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CLP BOUGHT USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |            1 | NC      | $-51089.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4282 FR 07/27 FIXED 3                  | CUSIP: 3131X7XK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22506 | PA      | $22256.44       | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0127 FN 10/30 FIXED VAR                        | CUSIP: 3140XFD99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5015061 | PA      | $4973611.91     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-478449.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                              | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A A 144A        | CUSIP: 03331MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    118100000 | PA      | $118487559.32   | 0.06%             | 2040-10-22      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKIN MORTGAGE LOAN TRUST 2005-FFH2                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH2 M3 144A       | CUSIP: 32027NTW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2505125 | PA      | $2457347.36     | 0.00%             | 2035-04-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-HE1              | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE1 A5           | CUSIP: 04544RAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8431000 | PA      | $7832735.40     | 0.00%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A2C           | CUSIP: 251510MJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500653 | PA      | $2295640.66     | 0.00%             | 2036-02-25      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.15000 10/12/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3770635.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVI LTD / PREFERRED TERM SECURITIES XXVI INC          | PREFERRED TERM SECS XXVI SR SECURED 144A 09/37 VAR         | CUSIP: 74042QAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |        64800 | PA      | $59939.57       | 0.00%             | 2037-09-22      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-GEL3                                       | STRUCTURED ASSET SECURITIES CO SASC 2006 GEL3 M1 144A      | CUSIP: 86360XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2403607 | PA      | $2375277.10     | 0.00%             | 2036-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-31                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 31 4A3                    | CUSIP: 126694UU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1292315 | PA      | $1227944.70     | 0.00%             | 2036-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN3502 FR 02/49 FIXED 4                  | CUSIP: 3131Y93K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       155474 | PA      | $149537.19      | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M4               | CUSIP: 61744CLX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2114249 | PA      | $1957873.00     | 0.00%             | 2035-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6191 FN 11/45 FIXED 3.5                        | CUSIP: 3138WF2Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6037 | PA      | $5676.55        | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 1A1            | CUSIP: 05949A5Z9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       312279 | PA      | $224046.23      | 0.00%             | 2035-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO2651 FN 06/49 FIXED 4                          | CUSIP: 3140JW5M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1884421 | PA      | $1829556.30     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1982571.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                            | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 B B 144A         | CUSIP: 80280BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1850000 | PA      | $1860788.46     | 0.00%             | 2033-01-18      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2014-2R                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 2R 23A2 144A        | CUSIP: 12648EJA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9044126 | PA      | $2453473.37     | 0.00%             | 2046-02-27      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-4                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 4 TA4             | CUSIP: 05953YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       812129 | PA      | $697160.57      | 0.00%             | 2037-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A2A                | CUSIP: 59020UJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8218 | PA      | $7843.28        | 0.00%             | 2029-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4125 FN 05/46 FIXED 3.5                        | CUSIP: 3140E8SP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89575 | PA      | $83731.90       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-WMC3                                              | MASTR ASSET BACKED SECURITIES MABS 2006 WMC3 A2            | CUSIP: 55291KAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4661353 | PA      | $1586259.46     | 0.00%             | 2036-08-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR2                                                | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR2 2A1A                | CUSIP: 23332UDC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       844794 | PA      | $807801.75      | 0.00%             | 2045-03-19      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD0210 FR 12/49 FIXED 3                  | CUSIP: 3132DMGT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33410788 | PA      | $29883090.37    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2014-R8                                    | MORGAN STANLEY REREMIC TRUST MSRR 2014 R8 4B 144A          | CUSIP: 61764KAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       400715 | PA      | $316454.66      | 0.00%             | 2047-06-26      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-15                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 15 3A11          | CUSIP: 41161PXM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1887697 | PA      | $1410818.50     | 0.00%             | 2045-10-20      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 545064 FN 06/31 FIXED VAR                        | CUSIP: 31385HQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1617 | PA      | $1670.11        | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                              | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 1A1           | CUSIP: 40430FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43491828 | PA      | $33375337.14    | 0.02%             | 2037-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4922 FN 01/48 FIXED 4                          | CUSIP: 3140H6PG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       651392 | PA      | $626109.03      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-5 LLC                                                                  | PRP ADVISORS, LLC PRPM 2025 5 A1 144A                      | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11125313 | PA      | $11144094.88    | 0.01%             | 2030-07-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-3F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 3F 1A2                    | CUSIP: 362334JH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       484301 | PA      | $640788.63      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL2                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL2 A1 144A      | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9013812 | PA      | $8740665.02     | 0.00%             | 2064-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q49387 FG 07/47 FIXED 4                  | CUSIP: 3132WPND5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       346082 | PA      | $333432.67      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A                                    | UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A        | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2203555 | PA      | $2195621.71     | 0.00%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                         | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A         | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    420905740 | PA      | $567515663.26   | 0.28%             | 2053-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-C                                                        | CENTEX HOME EQUITY CXHE 2004 C M1                          | CUSIP: 152314KR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29911 | PA      | $29471.81       | 0.00%             | 2034-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 1A             | CUSIP: 41161PGY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10107034 | PA      | $6832736.08     | 0.00%             | 2034-11-19      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                           | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507       | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2880360 | PA      | $3070306.12     | 0.00%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-17                                                   | GSAA HOME EQUITY TRUST GSAA 2006 17 A2                     | CUSIP: 362257AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16485652 | PA      | $3949474.23     | 0.00%             | 2036-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A R 144A                                | CUSIP: ACI2J97R5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      6829000 | PA      | $7232485.48     | 0.00%             | 2050-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEX BONOS DESARR FIX RT BONDS 03/29 8.5                    | CUSIP: ACI2JBZ32<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   8892700000 | PA      | $492744004.42   | 0.24%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890306 FN 04/26 FIXED VAR                        | CUSIP: 31410LDK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2477 | PA      | $2468.47        | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22902.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                                  | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                   | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |      5200000 | PA      | $5545800.00     | 0.00%             | 2032-01-07      | Floating      | 12.43%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 1X 144A        | CUSIP: 12597GAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    308311386 | PA      | $18498.68       | 0.00%             | 2059-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-AF2                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AF2 AF2           | CUSIP: 59023NAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1566052 | PA      | $571426.08      | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 4A11            | CUSIP: 00703QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       102950 | PA      | $38819.49       | 0.00%             | 2036-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4024 FN 02/53 FIXED VAR                        | CUSIP: 3140XKPJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       767537 | PA      | $778610.01      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PRIMEX.ARM.2-AAA SP BRC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $8885.67        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 2 2A2            | CUSIP: 68402CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7387878 | PA      | $4432289.95     | 0.00%             | 2036-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.86000 11/14/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2791662.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A R 144A         | CUSIP: 210927AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56008016 | PA      | $26075715.78    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 01/33 4.375          | CUSIP: ACI2C9PD3<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     41600000 | PA      | $34438990.13    | 0.02%             | 2033-01-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE1                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE1 A3           | CUSIP: 144538AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13145772 | PA      | $12968100.58    | 0.01%             | 2036-04-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR13                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR13 1A1          | CUSIP: 45660N7J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       292311 | PA      | $264499.99      | 0.00%             | 2035-01-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING I LTD 2020-1A                                              | ROMARK CREDIT FUNDING LTD RCF 2020 1A AV 144A              | CUSIP: 77588EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     52900000 | PA      | $51719566.65    | 0.03%             | 2038-04-28      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.52000 04/09/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $936348.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.76000 08/23/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2727886.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.54666 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $199676.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $20271.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8142 FN 10/46 FIXED 4                          | CUSIP: 3138WJBL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1232121 | PA      | $1185273.28     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                          | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A2F 144A        | CUSIP: 288547AS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       403829 | PA      | $399889.85      | 0.00%             | 2037-05-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 2CB A9           | CUSIP: 12668BLJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7018862 | PA      | $3141211.13     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ6346 FN 12/41 FIXED 3.5                        | CUSIP: 3138AYBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8571 | PA      | $8160.41        | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2003-WF1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2003 WF1 A2            | CUSIP: 04542BCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19551 | PA      | $19551.41       | 0.00%             | 2032-12-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                   | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |   2371183685 | PA      | $23092957910.15 | 11.40%            |  |  |  | No            |                  1 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                                | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2            | CUSIP: 81375WCT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       716973 | PA      | $665394.40      | 0.00%             | 2035-01-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-16                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 16 MV4             | CUSIP: 126670PL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22800000 | PA      | $22199117.40    | 0.01%             | 2036-05-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J2 A3            | CUSIP: 12668BTF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31572 | PA      | $15370.49       | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                    | ARGENT SECURITIES INC. ARSI 2006 M1 A2D                    | CUSIP: 04012MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5131997 | PA      | $1397077.81     | 0.00%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR1 2A1           | CUSIP: 86362XAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4404697 | PA      | $3941340.97     | 0.00%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-1209848.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                                     | SBNA AUTO LEASE TRUST SBALT 2024 B A3 144A                 | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56300000 | PA      | $56685328.46    | 0.03%             | 2027-11-22      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                                              | FANNIE MAE FNR 2006 118 A2                                 | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15277 | PA      | $15019.25       | 0.00%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4093                                                          | FREDDIE MAC FHR 4093 QZ                                    | CUSIP: 3137ASTB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6524878 | PA      | $6190836.75     | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS6                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS6 M5            | CUSIP: 76112BTW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1649148 | PA      | $1646945.46     | 0.00%             | 2035-06-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $1487367.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2023-3A                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 3A A 144A        | CUSIP: 05377RGU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16865000 | PA      | $17119870.63    | 0.01%             | 2028-02-22      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3260 FN 12/52 FIXED 5.5                        | CUSIP: 3140N7TS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1605282 | PA      | $1627426.51     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT2                                               | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M4           | CUSIP: 40430HED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5700000 | PA      | $4994758.38     | 0.00%             | 2036-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $4733.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5601 FN 08/45 FIXED 4.5                        | CUSIP: 3138WFGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69154 | PA      | $68674.89       | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-91287.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-4A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 4A A2 144A               | CUSIP: 16144YAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18280219 | PA      | $18317579.72    | 0.01%             | 2027-09-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $3578733.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938338 FN 07/37 FIXED 6                          | CUSIP: 31412X4X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11522 | PA      | $12111.40       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 3A1           | CUSIP: 12667GCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1736261 | PA      | $1382812.69     | 0.00%             | 2035-05-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $555958.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2024-A                                              | WORLD OMNI SELECT AUTO TRUST WOSAT 2024 A A2A              | CUSIP: 98164LAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8562234 | PA      | $8577521.31     | 0.00%             | 2028-02-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XX LTD / PREFERRED TERM SECURITIES XX INC              | PREFERRED TERM SECS XX SR SECURED 144A 03/38 VAR           | CUSIP: 74042DAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      7004194 | PA      | $6058628.16     | 0.00%             | 2038-03-22      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3955 FN 08/46 FIXED 3.5                        | CUSIP: 3140FBMD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13580 | PA      | $12740.85       | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q11781 FG 09/42 FIXED 3                  | CUSIP: 3132HM6S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48527 | PA      | $45360.80       | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP5228 FN 04/50 FIXED 4                          | CUSIP: 3140KCY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       738229 | PA      | $700305.74      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H09                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H09 FB             | CUSIP: 38375UYW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5567126 | PA      | $5634511.23     | 0.00%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 01/26 0.00000                                | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     14758000 | PA      | $14573213.46    | 0.01%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A7           | CUSIP: 93934FGF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       369798 | PA      | $356553.00      | 0.00%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                                         | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A        | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19112759 | PA      | $17109837.10    | 0.01%             | 2042-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5342 FN 04/54 FIXED 7                          | CUSIP: 31418E5C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       837673 | PA      | $877864.36      | 0.00%             | 2054-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-9                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 9 1A             | CUSIP: 41161PHR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9776232 | PA      | $8084009.86     | 0.00%             | 2034-12-19      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-76                                                               | FANNIE MAE FNR 2003 76 EZ                                  | CUSIP: 31393D6J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        97907 | PA      | $99536.82       | 0.00%             | 2033-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6388 FN 02/48 FIXED 4                          | CUSIP: 3140H8C29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        97788 | PA      | $93862.28       | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2C               | CUSIP: 617505AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2433250 | PA      | $1163909.75     | 0.00%             | 2036-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO5                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 3A4           | CUSIP: 75114HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       613289 | PA      | $489649.00      | 0.00%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-208825.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-6                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 2A10            | CUSIP: 059487AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       185139 | PA      | $156957.88      | 0.00%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8644 G2 02/53 FIXED 3.5                     | CUSIP: 36179XS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       953769 | PA      | $876696.91      | 0.00%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                         | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 2A1A         | CUSIP: 66988UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4553503 | PA      | $4178381.77     | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-2 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 2A A1R 144A        | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     23700000 | PA      | $23747350.47    | 0.01%             | 2035-04-22      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERV & SEC 2004-CB4                                           | CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 A5           | CUSIP: 12489WJP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1619434 | PA      | $1500845.87     | 0.00%             | 2035-05-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q32878 FG 04/45 FIXED 3                  | CUSIP: 3132QPFU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32623 | PA      | $29784.41       | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2004-2                                                   | HOMEBANC MORTGAGE TRUST HMBT 2004 2 M1                     | CUSIP: 43739EAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       135886 | PA      | $129465.44      | 0.00%             | 2034-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5018 FN 05/45 FIXED 4                          | CUSIP: 3138WESG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1195057 | PA      | $1151224.73     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW6230 FN 06/44 FIXED 4                          | CUSIP: 3138XV4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1644 | PA      | $1587.18        | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 3A4          | CUSIP: 761118DA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       929127 | PA      | $681009.24      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A YR 144A                          | CUSIP: ACI1746Z4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      1219000 | PA      | $2.15           | 0.00%             | 2054-10-29      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                                | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D           | CUSIP: 81377AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3476558 | PA      | $1372692.34     | 0.00%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9966 FN 09/47 FIXED 4                          | CUSIP: 3140H0CC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       817126 | PA      | $785663.00      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2752404.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $13478.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                                              | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M6                | CUSIP: 70069FEN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17714420 | PA      | $14424161.74    | 0.01%             | 2035-02-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251014                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-2614758.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 8A A 144A         | CUSIP: 03331XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     15670435 | PA      | $15605237.04    | 0.01%             | 2037-07-25      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50642 FG 09/47 FIXED 3.5                | CUSIP: 3132XSWC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       161550 | PA      | $150820.26      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2010-9R                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 9R 30A5 144A        | CUSIP: 12644NUH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2435202 | PA      | $739543.20      | 0.00%             | 2036-10-27      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT1                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT1 M1           | CUSIP: 00075QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33142418 | PA      | $29171883.25    | 0.01%             | 2036-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0243 FN 01/26 FIXED VAR                        | CUSIP: 3138EGHV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          411 | PA      | $409.66         | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ0110 FR 07/54 FIXED 7                  | CUSIP: 3133CQDP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67124 | PA      | $70597.71       | 0.00%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A3           | CUSIP: 86360UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2753618 | PA      | $2211386.17     | 0.00%             | 2046-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3736 FN 11/45 FIXED 3                          | CUSIP: 3138YVEJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83987 | PA      | $76768.00       | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA6115 FR 10/51 FIXED 2.5                | CUSIP: 3133KMYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19279 | PA      | $16397.19       | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ESKOM GG LOAN SNR EM SP DUB                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $3041190.53     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                         | SOFTBANK VISION FUND II TRANCHE B2 TERM LOAN               | CUSIP: BA000KP70<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    100428219 | PA      | $100428218.58   | 0.05%             | 2029-12-23      | Floating      | 7.65%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1824 FN 04/46 FIXED 4.5                        | CUSIP: 3140EWA21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       438751 | PA      | $432604.82      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ4674 FN 11/26 FIXED 3                          | CUSIP: 3138AWFQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4929 | PA      | $4885.82        | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2023 1A A3 144A       | CUSIP: 78398AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2192384 | PA      | $2208534.54     | 0.00%             | 2028-10-20      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.60 8/15/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-7293374.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 22A1                 | CUSIP: 07386HL33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8666177 | PA      | $6149864.77     | 0.00%             | 2036-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.60500 06/28/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5989109.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 04/33 3.419                 | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     13531000 | PA      | $12527575.27    | 0.01%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-1                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 1 M3 144A         | CUSIP: 86358EQK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3985644 | PA      | $3945482.34     | 0.00%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.51453 09/03/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $408091.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3000 FN 05/31 FIXED 4.5                        | CUSIP: 31416YKN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13268 | PA      | $13359.74       | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $215483.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-32CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 32CB A14         | CUSIP: 02147XAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3937008 | PA      | $1695839.25     | 0.00%             | 2036-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG6258 G2 06/48 FIXED 4                       | CUSIP: 3617GQ5T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1999161 | PA      | $1891482.33     | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R3                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 R3 AF 144A                | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       413028 | PA      | $336629.59      | 0.00%             | 2035-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-NS1                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 NS1 A4            | CUSIP: 83612QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15293808 | PA      | $14898075.81    | 0.01%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A2           | CUSIP: 93364FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1136043 | PA      | $1036954.72     | 0.00%             | 2037-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A4          | CUSIP: 83612NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19142324 | PA      | $5155272.82     | 0.00%             | 2037-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                                  | VALARIS LTD SECURED 144A 04/30 8.375                       | CUSIP: 91889FAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1556000 | PA      | $1615982.66     | 0.00%             | 2030-04-30      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-5X                                                             | EUROSAIL PLC ESAIL 2007 5X A1A REGS                        | CUSIP: B29H4QII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     17133976 | PA      | $22489616.31    | 0.01%             | 2045-09-13      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3355 FN 02/48 FIXED VAR                        | CUSIP: 3140J7WR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       163510 | PA      | $152573.43      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 6A3            | CUSIP: 863579C30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       112375 | PA      | $104774.36      | 0.00%             | 2035-11-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO7259 FN 01/35 FIXED 3                          | CUSIP: 3140K3B50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80588 | PA      | $78140.81       | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 12/25 0.00000                                | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     14778000 | PA      | $14665935.62    | 0.01%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.82700 05/06/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2838007.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTGE 2004-14                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 14 3A1            | CUSIP: 863579CD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18714 | PA      | $18091.13       | 0.00%             | 2034-10-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 SA 144A       | CUSIP: 17329YAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       691202 | PA      | $673155.20      | 0.00%             | 2061-05-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8606 FN 04/48 FIXED 3.5                        | CUSIP: 3140HAR44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11230 | PA      | $10392.58       | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2010-R5                                            | BANC OF AMERICA FUNDING CORPOR BAFC 2010 R5 1A3 144A       | CUSIP: 05956DAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4062907 | PA      | $3771524.75     | 0.00%             | 2037-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-2                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 2 5A1             | CUSIP: 863579V47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       501092 | PA      | $401758.40      | 0.00%             | 2036-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 12/25 0.00000                                | CUSIP: 912797RR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     19990000 | PA      | $19856078.19    | 0.01%             | 2025-12-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 4 A1A 144A             | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70505384 | PA      | $70685186.89    | 0.03%             | 2064-10-27      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $974544.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA2476 FR 09/49 FIXED 3                  | CUSIP: 31334YXD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1105645 | PA      | $988201.59      | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE4 M1                | CUSIP: 61746RGK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8202584 | PA      | $8722877.22     | 0.00%             | 2034-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC BAYER US FINANCE LLC                  | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |      7300000 | PA      | $7804257.65     | 0.00%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4919 FN 02/53 FIXED 5.5                        | CUSIP: 31418EPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38168818 | PA      | $38679642.48    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1440736.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3174 G2 10/45 FIXED 4                       | CUSIP: 36179RQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64345 | PA      | $62113.53       | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL2 PT 144A         | CUSIP: 52474EAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196085877 | PA      | $187251580.61   | 0.09%             | 2057-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE3                                                     | ACE SECURITIES CORP. ACE 2007 HE3 A1                       | CUSIP: 00442GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19289786 | PA      | $4182880.19     | 0.00%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTG SEC-1999-B                                                | BOMBARDIER CAPITAL MORTGAGE SE BCM 1999 B A3               | CUSIP: 09774XBD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22628015 | PA      | $1464582.43     | 0.00%             | 2029-12-17      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA6332 FR 01/50 FIXED 3                  | CUSIP: 3133A1A93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11678248 | PA      | $10495985.16    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 21 A2                     | CUSIP: 12543PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1298995 | PA      | $564481.02      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP MEI                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $2086.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 B 144A        | CUSIP: 17330EAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22340279 | PA      | $15882466.14    | 0.01%             | 2061-08-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-12T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 12T1 A16         | CUSIP: 02150LAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2852449 | PA      | $1208904.32     | 0.00%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7081 FN 03/47 FIXED 4                          | CUSIP: 3140FE2P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4756064 | PA      | $4553730.06     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.97500 03/21/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5113379.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LUGO FUNDING DAC 24-1A                                                           | LUGO FUNDING DAC LUGO 2024 1A A 144A                       | CUSIP: ACI2S0075<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    167557523 | PA      | $197131046.26   | 0.10%             | 2066-05-26      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV4916 FN 04/37 FIXED 3                          | CUSIP: 3140MJPA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       195830 | PA      | $187973.32      | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2D               | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9861065 | PA      | $4716408.32     | 0.00%             | 2036-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2005-RS1                                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS1 MI2           | CUSIP: 76112BJA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       433310 | PA      | $362773.08      | 0.00%             | 2035-01-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $743995.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH2                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH2 A1 144A        | CUSIP: 12668JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4739120 | PA      | $4230407.99     | 0.00%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3696 FN 08/31 FIXED VAR                        | CUSIP: 3140J8DA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73412 | PA      | $72110.84       | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 832684 FN 09/35 FIXED 6                          | CUSIP: 31407KCV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55629 | PA      | $57350.22       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                   | WINSTON RE LTD UNSECURED 144A 02/31 VAR                    | CUSIP: 975660AB7<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |      4800000 | PA      | $5184720.00     | 0.00%             | 2031-02-26      | Floating      | 15.62%                | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL3 A1 144A      | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54256134 | PA      | $52880046.93    | 0.03%             | 2065-07-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2310 FN 06/46 FIXED 4                          | CUSIP: 3140F9R80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29005 | PA      | $27905.64       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO7258 FN 01/35 FIXED 3                          | CUSIP: 3140K3B43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       113829 | PA      | $109898.67      | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                                   | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A                    | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     83300000 | PA      | $83292316.41    | 0.04%             | 2034-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-IM1                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 IM1 A2             | CUSIP: 126670SP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5919014 | PA      | $5392923.49     | 0.00%             | 2036-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A B                   | CUSIP: ACI2PHLZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     28169665 | PA      | $38044159.99    | 0.02%             | 2048-06-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A2          | CUSIP: 02149HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3365833 | PA      | $1720051.35     | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2006-1                                                   | BNC MORTGAGE LOAN TRUST BNCMT 2006 1 A4                    | CUSIP: 055682AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29013000 | PA      | $18869237.03    | 0.01%             | 2036-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5514 FN 05/46 FIXED 4                          | CUSIP: 3140F1DU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28492 | PA      | $27411.27       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI9792 FN 08/26 FIXED 3.5                        | CUSIP: 3138AP3A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       185661 | PA      | $184564.44      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                                   | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                    | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     74000000 | PA      | $74000936.84    | 0.04%             | 2034-10-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A C 144A             | CUSIP: ACI2DJF41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     30790438 | PA      | $41471429.84    | 0.02%             | 2053-03-14      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TR 2006-3                                               | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4              | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6214496 | PA      | $5915151.26     | 0.00%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                          | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A         | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26300000 | PA      | $26231044.03    | 0.01%             | 2038-11-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A3B          | CUSIP: 00075VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13237338 | PA      | $5390921.90     | 0.00%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S CHOICE HOME LOAN SECURITIES TRUST SERIES 2004-2                         | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2004 2 M3             | CUSIP: 71085PAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4023776 | PA      | $3696355.63     | 0.00%             | 2034-10-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 2A1B                | CUSIP: 23333YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        61565 | PA      | $60779.06       | 0.00%             | 2047-04-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D               | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10352694 | PA      | $5200163.41     | 0.00%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 16 A25                    | CUSIP: 12669G3T6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1060693 | PA      | $641877.89      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4876 FN 12/52 FIXED 6                          | CUSIP: 31418EM23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       874899 | PA      | $900458.52      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 AIOS 144A     | CUSIP: 17329YAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    806444741 | PA      | $5754104.19     | 0.00%             | 2061-05-01      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3635 FN 04/39 FIXED 4                          | CUSIP: 31418DBD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       349608 | PA      | $343863.06      | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-NC2                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC2 M1            | CUSIP: 75156TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1136724 | PA      | $1108327.58     | 0.00%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-2142540.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM4 TRUST                                                             | GCAT GCAT 2023 NQM4 A1 144A                                | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16121971 | PA      | $15456697.69    | 0.01%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251014                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $4989116.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-C                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 C 2A2            | CUSIP: 05949AY87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        75420 | PA      | $74763.60       | 0.00%             | 2035-04-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20251009                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-22971.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT4                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT4 M1           | CUSIP: 83611MJL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7345583 | PA      | $6912243.01     | 0.00%             | 2035-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A C 144A                       | CUSIP: ACI2V59B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     85685000 | PA      | $115064577.85   | 0.06%             | 2056-08-28      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3768 FN 09/34 FIXED 3                          | CUSIP: 31418DFJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       803395 | PA      | $777808.49      | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR7                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR7 A3A           | CUSIP: 17312YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12500842 | PA      | $9539711.07     | 0.00%             | 2047-05-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT0319 FN 04/43 FIXED 4                          | CUSIP: 3138WMK91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       285541 | PA      | $277532.95      | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC                                  | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 2A AR 144A       | CUSIP: ACI2QLH16<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     14266205 | PA      | $16749494.16    | 0.01%             | 2033-01-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8241 FN 11/31 FIXED 2.5                        | CUSIP: 3138WJEP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       234533 | PA      | $226627.04      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAA TRUST 2006-15                                                               | GSAA HOME EQUITY TRUST GSAA 2006 15 AF2                    | CUSIP: 3622E8AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8913582 | PA      | $2244266.11     | 0.00%             | 2036-09-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-BC5                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC5 M5             | CUSIP: 126670NJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7675000 | PA      | $7624437.87     | 0.00%             | 2036-01-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.6* 7/20/23-6Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-8201793.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1674 FN 09/34 FIXED VAR                        | CUSIP: 3140X42G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15282 | PA      | $14851.28       | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2519 FR 08/38 FIXED 3.5                | CUSIP: 31329KYQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       180321 | PA      | $173785.22      | 0.00%             | 2038-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED REGS 01/29 4.125               | CUSIP: ACI1RJK00<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      1200000 | PA      | $1219100.57     | 0.00%             | 2029-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING IX LTD 9A                                               | ALESCO PREFERRED FUNDING LTD ALESC 9A A2A 144A             | CUSIP: 01449TAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     27500000 | PA      | $22962500.00    | 0.01%             | 2036-06-23      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S9                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S9 1A1            | CUSIP: 74958VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       298173 | PA      | $136177.90      | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-INV3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 INV3 PT 144A      | CUSIP: 17332ACD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73920941 | PA      | $77677499.74    | 0.04%             | 2054-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2311                                                                 | FREDDIE MAC FHR 2311 Z                                     | CUSIP: 3133TSDK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68348 | PA      | $70412.25       | 0.00%             | 2031-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4614 FN 09/46 FIXED 3.5                        | CUSIP: 3140FCDU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6203 | PA      | $5788.33        | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4053 FN 01/47 FIXED 3.5                        | CUSIP: 3140FPQF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12834502 | PA      | $12001366.37    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2102 FN 04/29 FIXED 3                          | CUSIP: 3138WBKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65354 | PA      | $64312.82       | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-B                                                        | CENTEX HOME EQUITY CXHE 2005 B M6                          | CUSIP: 152314NG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       885153 | PA      | $789173.33      | 0.00%             | 2035-03-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1129.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M5             | CUSIP: 64352VKE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3758370 | PA      | $3724687.38     | 0.00%             | 2035-03-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BI1114 G2 07/48 FIXED 4                       | CUSIP: 3617HAGX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       364198 | PA      | $344356.60      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q56594 FG 06/48 FIXED 3.5                | CUSIP: 3132Y0KG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       281766 | PA      | $262671.94      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4328 FN 06/47 FIXED 3.5                        | CUSIP: 3140GSY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       359040 | PA      | $334299.88      | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4                             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 4 A3             | CUSIP: 10806EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25200000 | PA      | $25244588.88    | 0.01%             | 2028-09-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-4                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 4 4A1             | CUSIP: 86360BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4304438 | PA      | $3027722.02     | 0.00%             | 2036-05-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5                   | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 A 144A      | CUSIP: 46654PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1350000 | PA      | $1349269.79     | 0.00%             | 2038-11-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                                       | ENCINA PRIVATE CREDIT LLC NOTE                             | CUSIP: 938DREII2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30230825 | PA      | $29350684.76    | 0.01%             | 2025-11-30      | Floating      | 6.41%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5280 FN 02/44 FIXED 6.5                        | CUSIP: 31418E2N9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16588874 | PA      | $17190357.27    | 0.01%             | 2044-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET BKD 2004-FF2                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF2 M5             | CUSIP: 32027NHM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       211079 | PA      | $207684.96      | 0.00%             | 2034-03-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVC SEC 2005-CB8                                            | CREDIT BASED ASSET SERVICING A CBASS 2005 CB8 M1           | CUSIP: 12489WQH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19631000 | PA      | $18161537.20    | 0.01%             | 2035-12-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA6 NB1           | CUSIP: 76110HH28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       130982 | PA      | $55154.25       | 0.00%             | 2034-12-26      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2863 FN 05/45 FIXED 4                          | CUSIP: 3138YUFD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12856 | PA      | $12401.47       | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 2A3          | CUSIP: 93363NAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       466296 | PA      | $423993.72      | 0.00%             | 2036-10-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN6212 FN 03/49 FIXED 4                          | CUSIP: 3140JN3W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       741546 | PA      | $711283.11      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251003                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-556322.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.46400 08/02/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $3747297.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A3            | CUSIP: 14688PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36300000 | PA      | $36631872.75    | 0.02%             | 2029-07-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A C 144A         | CUSIP: 21056DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13249249 | PA      | $13776980.10    | 0.01%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M5             | CUSIP: 64352VKX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4528902 | PA      | $4485320.39     | 0.00%             | 2035-06-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-3                                                | IMPAC SECURED ASSETS CORP. IMSA 2007 3 A1B                 | CUSIP: 45257VAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6916207 | PA      | $6037753.32     | 0.00%             | 2037-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB0865 FN 06/51 FIXED 3.5                        | CUSIP: 3140QK6B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14943 | PA      | $13763.00       | 0.00%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4                                  | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST4 A 144A        | CUSIP: 52608GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1965532 | PA      | $1949689.21     | 0.00%             | 2029-07-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6948 FR 02/53 FIXED 5.5                | CUSIP: 3133BUWH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62519 | PA      | $63190.05       | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO CLASS A SHARE                                   | CUSIP: 972BEF903<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4904 FN 07/47 FIXED 3.5                        | CUSIP: 3140GTNW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2005 | PA      | $1875.52        | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN1370 FR 01/35 FIXED 3                  | CUSIP: 3133G7QX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46140 | PA      | $44454.19       | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-76                                                               | FANNIE MAE FNR 2006 76 QF                                  | CUSIP: 31396KBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1834 | PA      | $1823.93        | 0.00%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8465 FR 09/54 FIXED 7                  | CUSIP: 3132DWMN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999900 | PA      | $1046366.47     | 0.00%             | 2054-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1530 FN 04/43 FIXED 3.5                        | CUSIP: 3140Q8VY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       216952 | PA      | $204143.21      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                                   | FREMONT HOME LOAN TRUST FHLT 2006 2 2A3                    | CUSIP: 35729PPX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4721633 | PA      | $4608099.74     | 0.00%             | 2036-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDNTIAL COLL TR 2002-BC10                                          | AMORTIZING RESIDENTIAL COLLATE ARC 2002 BC10 A4            | CUSIP: 86359AHD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22648 | PA      | $24244.23       | 0.00%             | 2033-01-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA A1B 144A          | CUSIP: 63942TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54437262 | PA      | $54938476.29    | 0.03%             | 2072-03-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY9719 FN 06/45 FIXED 4                          | CUSIP: 3138YPYR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       712881 | PA      | $686438.05      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2896 FN 02/47 FIXED 3.5                        | CUSIP: 31418CGE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       163813 | PA      | $153161.06      | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON AUTO TRUST 2024-1A                                                    | HUNTINGTON AUTO TRUST HUNT 2024 1A A3 144A                 | CUSIP: 446144AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57600000 | PA      | $58253368.32    | 0.03%             | 2029-01-16      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP8347 FN 06/50 FIXED 3.5                        | CUSIP: 3140KGHZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       692628 | PA      | $639931.43      | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-3A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 3A A2 144A               | CUSIP: 16144LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12229438 | PA      | $12257274.63    | 0.01%             | 2027-09-27      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.20000 05/06/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $7339082.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5473 FN 07/45 FIXED 4                          | CUSIP: 3138WFCK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14676 | PA      | $14141.87       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB5124 FN 05/42 FIXED 4                          | CUSIP: 31417BVS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59053 | PA      | $57428.99       | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH1526 FN 12/25 FIXED 3.5                        | CUSIP: 3138A2VU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10887 | PA      | $10842.26       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 4A1A                 | CUSIP: 1266944J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1848822 | PA      | $1768181.11     | 0.00%             | 2036-05-20      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BI1144 G2 08/48 FIXED 4                       | CUSIP: 3617HAHV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       966170 | PA      | $913540.30      | 0.00%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8816 FN 09/45 FIXED VAR                        | CUSIP: 3138ETYN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50913 | PA      | $50603.15       | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED 144A 01/28 5.5                 | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     42930000 | PA      | $37993050.00    | 0.02%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889245 FN 02/38 FIXED VAR                        | CUSIP: 31410G5E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       151755 | PA      | $159516.64      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A4            | CUSIP: 43709LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7997879 | PA      | $6607868.63     | 0.00%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                                                    | LUX 2023 LION LUX 2023 LION A 144A                         | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36100000 | PA      | $36572173.56    | 0.02%             | 2040-08-15      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 2A4            | CUSIP: 23246LAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18757276 | PA      | $16902592.10    | 0.01%             | 2047-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX3200 FR 01/55 FIXED 7                  | CUSIP: 31425XRW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3060695 | PA      | $3207256.99     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750PJ77 PIMCO FXVAN CALL USD TRY 56.90000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BM        |    -23600000 | NC      | $-80570.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B         | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12170362 | PA      | $11910462.35    | 0.01%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| NAVIENT REFINANCE LOAN TRUST 2025-A                                              | NAVIENT REFINANCE LOAN TRUST NAVRL 2025 A A 144A           | CUSIP: 63943FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18554257 | PA      | $18798319.42    | 0.01%             | 2055-02-16      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-EM                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 EMX1 M1 144A      | CUSIP: 07402LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1250134 | PA      | $1245628.67     | 0.00%             | 2037-03-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| TRAPEZA CDO LLC 2007-12A                                                         | TRAPEZA CDO LLC TRAP 2007 12A A2 144A                      | CUSIP: 89413GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8093088 | PA      | $6980288.62     | 0.00%             | 2042-04-06      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/9.10833 03/19/25-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $17425117.62    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2008-1                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2008 1 A1              | CUSIP: 05955AAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9632766 | PA      | $9049513.75     | 0.00%             | 2048-09-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICAT 2007-3                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 3 2A4              | CUSIP: 12668UAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19677160 | PA      | $14695129.07    | 0.01%             | 2047-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                                    | GSAA HOME EQUITY TRUST GSAA 2007 5 2A3A                    | CUSIP: 3622ECAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9943376 | PA      | $4298563.30     | 0.00%             | 2047-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-WMC1                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 WMC1 M1           | CUSIP: 59020UQV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1670245 | PA      | $1669014.73     | 0.00%             | 2035-09-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC1355 FN 09/54 FIXED 6.5                        | CUSIP: 3140ANQH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2999702 | PA      | $3102534.24     | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-A                                                   | FREMONT HOME LOAN TRUST FHLT 2004 A M1                     | CUSIP: 35729PCK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       994764 | PA      | $954449.05      | 0.00%             | 2034-01-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $540875.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP7517 FN 09/27 FIXED 3                          | CUSIP: 3138MBK70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19501 | PA      | $19300.49       | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9840 FN 09/45 FIXED 4                          | CUSIP: 3140E25A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       359510 | PA      | $344775.09      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR6                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR6 2A2           | CUSIP: 17309RAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1619233 | PA      | $1539466.51     | 0.00%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0207 G2 02/55 FIXED 6.5                     | CUSIP: 3618N5GR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    230994367 | PA      | $237430660.22   | 0.12%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW3640 FN 06/29 FIXED 3                          | CUSIP: 3138XTBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10495 | PA      | $10335.48       | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/2.00 8/18/23-9Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-27008373.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE SR UNSECURED 144A 01/34 VAR               | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    131700000 | PA      | $143499940.70   | 0.07%             | 2034-01-10      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5330 FN 12/37 FIXED VAR                        | CUSIP: 3140J94Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77196 | PA      | $71855.06       | 0.00%             | 2037-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $9.61           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4504 FN 12/46 FIXED 4                          | CUSIP: 3140FQAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       182217 | PA      | $173596.56      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $27768.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7937 G2 03/52 FIXED 3                       | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    117331351 | PA      | $104857021.15   | 0.05%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2B               | CUSIP: 61755AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7538144 | PA      | $5837105.61     | 0.00%             | 2037-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A12                                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A12 A3            | CUSIP: 76113XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6413495 | PA      | $2188988.14     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0256 FN 10/47 FIXED 4                          | CUSIP: 3140H1JA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3445 | PA      | $3313.74        | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08692 FG 02/46 FIXED 3                  | CUSIP: 3128MJXW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       108043 | PA      | $98027.90       | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $47944.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3174 FR 06/53 FIXED 5.5                | CUSIP: 3132DQQ33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82690 | PA      | $84232.59       | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-587399.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A A 144A              | CUSIP: ACI2PHLX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    211441180 | PA      | $285822635.76   | 0.14%             | 2048-06-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS D 144A                   | CUSIP: 90137LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13844500 | PA      | $12799240.25    | 0.01%             | 2035-05-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE1 21A3         | CUSIP: 07389UAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9028550 | PA      | $8811173.18     | 0.00%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2005-3 2005-3                              | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 3 2A1             | CUSIP: 576433YQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1539282 | PA      | $1404319.62     | 0.00%             | 2035-04-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/43 0.625                                | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     33608318 | PA      | $25551514.60    | 0.01%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $256597.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R11                                                 | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R11 M6            | CUSIP: 03072SWV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4768514 | PA      | $3787334.91     | 0.00%             | 2034-11-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-1225510.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251215                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $394171.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                 | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    412739000 | PA      | $409283549.09   | 0.20%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.715 03/24/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-2874106.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2024-A                                               | SBNA AUTO RECEIVABLES TRUST SBAT 2024 A A3 144A            | CUSIP: 78437PAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30896155 | PA      | $31026907.23    | 0.02%             | 2028-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB2 2A1B                 | CUSIP: 126694D21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       806066 | PA      | $730778.24      | 0.00%             | 2036-04-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $193148.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2003-9A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 9A 2A1            | CUSIP: 86359ARE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30011 | PA      | $29392.09       | 0.00%             | 2033-03-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM6262 FN 01/28 FIXED VAR                        | CUSIP: 3140X95Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       260425 | PA      | $257663.36      | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A1             | CUSIP: 55275RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29301643 | PA      | $13029101.40    | 0.01%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 6 M1               | CUSIP: 126670ZN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15408261 | PA      | $14455751.57    | 0.01%             | 2036-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R3                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R3 M7             | CUSIP: 03072SA54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $868178.80      | 0.00%             | 2035-05-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5808 FN 04/47 FIXED 3.5                        | CUSIP: 3140FRN27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       420732 | PA      | $390896.22      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A5           | CUSIP: 16162WQM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        81207 | PA      | $73174.85       | 0.00%             | 2036-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4730 FR 08/47 FIXED 3.5                | CUSIP: 3132A5HF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       226522 | PA      | $211697.36      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 743205 FN 10/33 FLOATING VAR                     | CUSIP: 31403AU60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          311 | PA      | $316.80         | 0.00%             | 2033-10-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M2            | CUSIP: 04542BKT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2044244 | PA      | $2009415.80     | 0.00%             | 2035-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1522 FN 01/29 FIXED 3                          | CUSIP: 3138WAVQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1596168 | PA      | $1572747.15     | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $149.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW3                                              | PARK PLACE SECURITIES INC PPSI 2005 WCW3 M3                | CUSIP: 70069FLY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $3815524.00     | 0.00%             | 2035-08-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ5545 FR 09/54 FIXED 6.5                | CUSIP: 3133CWES7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2999700 | PA      | $3103886.07     | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                                                    | ARGENT SECURITIES INC. ARSI 2006 W4 A2C                    | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5219395 | PA      | $1251817.54     | 0.00%             | 2036-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7088 FN 12/25 FIXED 4                          | CUSIP: 31419H2W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          197 | PA      | $196.51         | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8871 FN 05/49 FIXED 3.5                        | CUSIP: 3140JR2D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1232419 | PA      | $1155306.72     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE5                                               | MASTR ASSET BACKED SECURITIES MABS 2006 HE5 A4             | CUSIP: 576455AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2408142 | PA      | $1424566.28     | 0.00%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-4                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 4 6A              | CUSIP: 86360BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3320701 | PA      | $1879370.58     | 0.00%             | 2036-05-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP BOA                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-3983370.60    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2006-12                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 12 2A1            | CUSIP: 86362RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2617116 | PA      | $1889377.68     | 0.00%             | 2037-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 934262 FN 06/38 FIXED 6                          | CUSIP: 31412TMK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8193 | PA      | $8612.65        | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-1                                                           | LEHMAN XS TRUST LXS 2007 1 1A4                             | CUSIP: 525241AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7156605 | PA      | $5674446.08     | 0.00%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6715 FN 02/45 FIXED VAR                        | CUSIP: 3138EPN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       215926 | PA      | $208230.93      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60187 FG 08/45 FIXED 3                  | CUSIP: 31335AF45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85051 | PA      | $77337.95       | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-44                                                               | FANNIE MAE FNR 2000 44 B                                   | CUSIP: 31358SH20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          200 | PA      | $210.23         | 0.00%             | 2030-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-8                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 8 1A1            | CUSIP: 41161GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5402885 | PA      | $2556661.37     | 0.00%             | 2036-07-21      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP 2008-2R                                              | GS MORTGAGE SECURITIES CORP. GSMSC 2008 2R 1A1 144A        | CUSIP: 3622X1AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       706755 | PA      | $196168.19      | 0.00%             | 2036-09-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC3 TRUST                                                            | PRKCM TRUST PRKCM 2023 AFC3 A1 144A                        | CUSIP: 693984AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25864706 | PA      | $26136042.23    | 0.01%             | 2058-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 3A1                   | CUSIP: 36242D4T7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       380365 | PA      | $288270.33      | 0.00%             | 2035-05-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2003 HYB1 1A1                  | CUSIP: 12669DC89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        99261 | PA      | $92545.46       | 0.00%             | 2033-05-19      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2024-B                                            | HYUNDAI AUTO RECEIVABLES TRUST HART 2024 B A3              | CUSIP: 44934QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57200000 | PA      | $57849414.48    | 0.03%             | 2029-03-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                           | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/33 5.773       | CUSIP: 126650BV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3351777 | PA      | $3435295.30     | 0.00%             | 2033-01-10      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM2                                                     | ACE SECURITIES CORP. ACE 2004 FM2 M1                       | CUSIP: 004421GJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5505473 | PA      | $5244526.00     | 0.00%             | 2034-06-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-RP5                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP5 SA 144A       | CUSIP: 17331EAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       496089 | PA      | $466774.78      | 0.00%             | 2076-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4018 FN 12/46 FIXED 3.5                        | CUSIP: 3140FPPC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       452780 | PA      | $421889.65      | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS REAL ESTATE CAPITAL TRUST 2006-1                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 1 A3              | CUSIP: 61749QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6229788 | PA      | $2436976.02     | 0.00%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR2                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR2 1A1A          | CUSIP: 45661EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4336380 | PA      | $3997955.09     | 0.00%             | 2046-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BQ1794 FN 09/50 FIXED 4                          | CUSIP: 3140KL7G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1059322 | PA      | $1052919.08     | 0.00%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 655780 FN 08/32 FIXED 6.5                        | CUSIP: 31390TQ93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          266 | PA      | $275.00         | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE9395 FR 09/52 FIXED 4                  | CUSIP: 3133BKNL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9800361 | PA      | $9258712.37     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL2                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL2 A1 144A      | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18513322 | PA      | $17783360.55    | 0.01%             | 2064-06-25      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 22A1          | CUSIP: 07387AGC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31765 | PA      | $30516.35       | 0.00%             | 2036-02-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.90 05/18/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $554860827.19   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8149 G2 07/52 FIXED 3.5                     | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    226057999 | PA      | $206603845.77   | 0.10%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0885 FN 06/39 FIXED VAR                        | CUSIP: 3138EG6X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8216 | PA      | $8584.95        | 0.00%             | 2039-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-295103.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 1 2A1                     | CUSIP: 81744HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1146723 | PA      | $887284.95      | 0.00%             | 2047-02-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1                | CUSIP: 61755CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4217967 | PA      | $3839125.82     | 0.00%             | 2037-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED REGS 07/29 4                   | CUSIP: ACI1X3WT2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      3050000 | PA      | $3096400.71     | 0.00%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                             | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 A 144A         | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5140000 | PA      | $5139811.88     | 0.00%             | 2034-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                                  | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A             | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     83257647 | PA      | $83322979.86    | 0.04%             | 2032-07-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-4                                                              | IMPAC CMB TRUST IMM 2005 4 1M3                             | CUSIP: 45254NPJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23447 | PA      | $22015.46       | 0.00%             | 2035-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-135570.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1552 FN 01/46 FIXED 4                          | CUSIP: 3140EVWN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20294 | PA      | $19522.25       | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 1 2A3                  | CUSIP: 07386HFU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31750 | PA      | $30256.67       | 0.00%             | 2034-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7576 FN 10/46 FIXED 3.5                        | CUSIP: 3140FFM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       339604 | PA      | $317344.06      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-5                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2004 5 M2              | CUSIP: 86358EJF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       235887 | PA      | $229596.75      | 0.00%             | 2034-05-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $614843.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8552 FN 03/48 FIXED 4                          | CUSIP: 3140HAQE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102053 | PA      | $98076.80       | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $23505.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 1 4A1                     | CUSIP: 81744HAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       171783 | PA      | $113117.78      | 0.00%             | 2046-09-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 2A1          | CUSIP: 32056JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       177255 | PA      | $127950.94      | 0.00%             | 2037-11-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | LONG GILT FUTURE  DEC25 IFLL 20251229                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |       118802 | NC      | $11077332.23    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A1A          | CUSIP: 92922FB49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2098155 | PA      | $2064863.19     | 0.00%             | 2034-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEX BONOS DESARR FIX RT SR UNSECURED 11/34 7.75            | CUSIP: ACI087B66<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5735230000 | PA      | $296073595.67   | 0.15%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3            | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9087972 | PA      | $5340561.29     | 0.00%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4663 FN 05/53 FIXED VAR                        | CUSIP: 3140XLFD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5478794 | PA      | $5478176.62     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2005-5                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 5 1A2             | CUSIP: 863576AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4596257 | PA      | $2317846.85     | 0.00%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T A 144A      | CUSIP: 46652WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33500000 | PA      | $31237436.80    | 0.02%             | 2042-03-05      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $68536.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KENTMERE PLC 3A                                                                  | KENTMERE KMR 3A A 144A                                     | CUSIP: ACI2RTSC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    170913081 | PA      | $230704684.84   | 0.11%             | 2051-01-28      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 9A             | CUSIP: 07384MYZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        71705 | PA      | $65438.02       | 0.00%             | 2033-10-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A4              | CUSIP: 86360WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       160126 | PA      | $159117.14      | 0.00%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4               | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    137300000 | PA      | $38303063.90    | 0.02%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 872239 FN 04/36 FIXED 6                          | CUSIP: 31409JBG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5740 | PA      | $5938.28        | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 3 1A1            | CUSIP: 68389BAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10098041 | PA      | $6574662.66     | 0.00%             | 2037-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $992718.27      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8528 FN 12/46 FIXED 3.5                        | CUSIP: 3138WJPN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19399004 | PA      | $18123474.53    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED 144A 07/29 1.288                    | CUSIP: ACI1Z3WR4<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     19700000 | PA      | $21676580.14    | 0.01%             | 2029-07-13      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7883 G2 02/52 FIXED 3.5                     | CUSIP: 36179WXL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19248 | PA      | $17661.39       | 0.00%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-1                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 1 4A1             | CUSIP: 007036FT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1146643 | PA      | $1125831.69     | 0.00%             | 2035-05-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25               | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     40350000 | PA      | $41977463.58    | 0.02%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9111 FN 03/53 FIXED 5.5                        | CUSIP: 3140NEDR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1073590 | PA      | $1086714.67     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A2A            | CUSIP: 17312VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5412367 | PA      | $3963698.55     | 0.00%             | 2037-03-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 05/34 VAR                        | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     40060000 | PA      | $43109858.74    | 0.02%             | 2034-05-09      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM5199 FN 05/50 FIXED VAR                        | CUSIP: 3140X8X51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       285263 | PA      | $263619.81      | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A2                                      | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A2 1A8            | CUSIP: 12566UAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1228165 | PA      | $94803.67       | 0.00%             | 2037-02-25      | Floating      | 1.18%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-HE1                                | SECURITIZED ASSET BACKED RECEI SABR 2005 HE1 M1            | CUSIP: 81375WGF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3189998 | PA      | $2619744.11     | 0.00%             | 2035-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7688 FN 03/47 FIXED 4                          | CUSIP: 3140FTRJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       433224 | PA      | $416721.98      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A D 144A                                | CUSIP: ACI2J97Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10550000 | PA      | $14255424.48    | 0.01%             | 2050-11-28      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-140781.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-8                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 2A4              | CUSIP: 045427AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26790691 | PA      | $25481258.88    | 0.01%             | 2046-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $174485.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $182638.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 07/32 4                                    | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3746702900 | PA      | $3764850992.17  | 1.86%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 C A1B 144A         | CUSIP: 78449CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5560864 | PA      | $5647934.42     | 0.00%             | 2050-05-16      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS4                                              | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS4 A4            | CUSIP: 74924NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       417659 | PA      | $415568.74      | 0.00%             | 2037-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $6601.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9360 FN 01/27 FIXED 3.5                        | CUSIP: 3138E2MJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7746 | PA      | $7700.05        | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                   | CUSIP: 73110JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     73700000 | PA      | $76751180.00    | 0.04%             | 2027-01-07      | Floating      | 17.18%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/18/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-6240004.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDC MORTGAGE CAPITAL TRUST 2004-HE3                                              | CDC MORTGAGE CAPITAL TRUST CDCMC 2004 HE3 M1               | CUSIP: 12506YDF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15486 | PA      | $18428.73       | 0.00%             | 2034-11-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                                              | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M5                | CUSIP: 70069FEM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3246910 | PA      | $3002328.82     | 0.00%             | 2035-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254345 FN 06/32 FIXED 6                          | CUSIP: 31371KP62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5833 | PA      | $6017.17        | 0.00%             | 2032-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6803 FR 01/53 FIXED 6                  | CUSIP: 3133BURY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3647321 | PA      | $3744403.99     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA1011 FN 12/46 FIXED 4                          | CUSIP: 3140E5DR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81872 | PA      | $78682.29       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2772 FN 10/46 FIXED 3.5                        | CUSIP: 31418CCJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35580 | PA      | $33277.36       | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR5                                                          | BCAP LLC TRUST BCAP 2012 RR5 2A1 144A                      | CUSIP: 05539DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20098197 | PA      | $15803310.51    | 0.01%             | 2047-11-27      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ4                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ4 M2                | CUSIP: 70069FMT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1164870 | PA      | $1146199.05     | 0.00%             | 2035-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4299 FN 03/30 FIXED VAR                        | CUSIP: 3140J8X57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1042630 | PA      | $1033962.76     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-INV1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 INV1 PT 144A      | CUSIP: 17331TDJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238665174 | PA      | $248397224.19   | 0.12%             | 2054-01-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-4                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 4 5A1               | CUSIP: 126379AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2110051 | PA      | $326276.94      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A3 144A         | CUSIP: 39571XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6624000 | PA      | $6719602.87     | 0.00%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3101 FN 08/47 FIXED 4.5                        | CUSIP: 31418CNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7868 | PA      | $7774.44        | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-9                                                    | GSAA HOME EQUITY TRUST GSAA 2005 9 M3                      | CUSIP: 362341GP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4304000 | PA      | $4269138.89     | 0.00%             | 2035-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL3 A1A 144A    | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43968481 | PA      | $39515128.97    | 0.02%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF1                                               | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF1 A1            | CUSIP: 57645RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       715789 | PA      | $280289.50      | 0.00%             | 2037-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.23100 09/18/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3173865.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4786 FN 10/52 FIXED 5.5                        | CUSIP: 31418EJ84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34547 | PA      | $34991.05       | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A11         | CUSIP: 02149VAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1055476 | PA      | $460425.93      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894221 FN 10/36 FIXED 6.5                        | CUSIP: 31410QPE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4858 | PA      | $5127.96        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8460 FN 12/46 FIXED 3.5                        | CUSIP: 3138WJMJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16029 | PA      | $14983.57       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9167 FR 06/53 FIXED 5.5                | CUSIP: 3133KRFG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1264278 | PA      | $1279669.20     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5869 FN 08/45 FIXED 7                          | CUSIP: 31418FQX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       678377 | PA      | $711622.50      | 0.00%             | 2045-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2047 FN 05/53 FIXED 6                          | CUSIP: 3140NJHZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       957289 | PA      | $985821.56      | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK2375 FN 04/50 FIXED 4                          | CUSIP: 3140HFT90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103100 | PA      | $98404.02       | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-2                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 2 A2 144A         | CUSIP: 69545GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10598887 | PA      | $10626558.23    | 0.01%             | 2032-10-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6216 FN 03/48 FIXED 4                          | CUSIP: 3140H74A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20489 | PA      | $19690.77       | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-6                                                           | LEHMAN XS TRUST LXS 2005 6 1A4                             | CUSIP: 525221CW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4391392 | PA      | $3686147.46     | 0.00%             | 2035-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT5                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT5 2A4          | CUSIP: 83612CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8930761 | PA      | $8253397.16     | 0.00%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-19CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 19CB A1          | CUSIP: 12667GFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2920140 | PA      | $1848392.23     | 0.00%             | 2035-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB8220 FR 02/51 FIXED 2.5                | CUSIP: 3133AFDZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2712078 | PA      | $2305161.81     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68500 01/24/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $373682.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.36000 08/07/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $3452125.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52079 FG 11/47 FIXED 3.5                | CUSIP: 3132XUJZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       962929 | PA      | $898975.41      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMDOCS LIMITED                                                                   | AMDOCS LTD SR UNSECURED 06/30 2.538                        | CUSIP: 02342TAE9<br>LEI: 549300HQV672RJ7RQV66 | Long             | DBT              | CORP              | GG        |     23200000 | PA      | $21267168.79    | 0.01%             | 2030-06-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                              | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M4                | CUSIP: 70069FBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17186255 | PA      | $16556134.64    | 0.01%             | 2034-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A1            | CUSIP: 75116BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3720490 | PA      | $3148479.46     | 0.00%             | 2037-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43172 FG 09/46 FIXED 3                  | CUSIP: 3132WGQ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       111824 | PA      | $101248.90      | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1                                        | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 FM1 M2            | CUSIP: 59020UC37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4034057 | PA      | $3454339.12     | 0.00%             | 2036-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 5A1          | CUSIP: 45660LF87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2182800 | PA      | $1334441.91     | 0.00%             | 2035-11-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M3            | CUSIP: 17307GP85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3900000 | PA      | $3643895.97     | 0.00%             | 2035-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| UROPA SECURITIES PLC 2007-1                                                      | UROPA SECURITIES PLC UROPA 2007 1 A3A REGS                 | CUSIP: G92958AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7222313 | PA      | $9661982.85     | 0.00%             | 2040-10-10      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8571 FN 12/46 FIXED 3.5                        | CUSIP: 3138WJQZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28128 | PA      | $26293.70       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SEC TRUST 2005-1                                              | THORNBURG MORTGAGE SECURITIES TMST 2005 1 A1               | CUSIP: 885220GZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        93208 | PA      | $92093.48       | 0.00%             | 2045-04-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3285 FN 08/45 FIXED 4                          | CUSIP: 3138YUUK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       936279 | PA      | $892433.77      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV1                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV1 A1 144A         | CUSIP: 92539FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11990567 | PA      | $12001958.52    | 0.01%             | 2068-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 04/27 4.5                                  | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2225400000 | PA      | $2253174037.94  | 1.11%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN6213 FN 03/49 FIXED 4                          | CUSIP: 3140JN3X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       484785 | PA      | $464817.81      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2425 FN 09/48 FIXED 4                          | CUSIP: 3140Q9VT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       281535 | PA      | $269953.09      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2006-HE2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE2 M2            | CUSIP: 17309LAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5246653 | PA      | $5159819.03     | 0.00%             | 2036-08-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2003-9A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 9A 2A2            | CUSIP: 86359ARF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          870 | PA      | $852.47         | 0.00%             | 2033-03-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-440644.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-8T2                                            | BANC OF AMERICA FUNDING CORPOR BAFC 2006 8T2 A3            | CUSIP: 05951UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3436124 | PA      | $2949358.50     | 0.00%             | 2036-10-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7388 FN 06/46 FIXED 3.5                        | CUSIP: 3138WHF64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9844 | PA      | $9248.69        | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1988184.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51774 FG 10/47 FIXED 3.5                | CUSIP: 3132XT6L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1027062 | PA      | $959603.60      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BE8137 G2 02/48 FIXED 4                       | CUSIP: 3617G3BE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       583270 | PA      | $551497.38      | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.6* 7/24/23-9Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-17873123.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY2                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 1A1           | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2227593 | PA      | $2024101.21     | 0.00%             | 2036-12-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP SAL                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $820.50         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2006-5                                                   | HOME EQUITY ASSET TRUST HEAT 2006 5 2A3                    | CUSIP: 437096AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       535570 | PA      | $540012.77      | 0.00%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                     | ALAMO RE LTD UNSECURED 144A 06/26 VAR                      | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     34840000 | PA      | $36669100.00    | 0.02%             | 2026-06-08      | Floating      | 15.84%                | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2005-1                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2005 1 M5               | CUSIP: 29445FCS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28995 | PA      | $28837.80       | 0.00%             | 2035-04-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW6703 FN 07/44 FIXED 4                          | CUSIP: 3138XWNV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2516 | PA      | $2426.01        | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1911 FN 06/48 FIXED 4.5                        | CUSIP: 3140Q9DR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       433303 | PA      | $427892.84      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 01/28 VAR            | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     57700000 | PA      | $58573944.40    | 0.03%             | 2028-01-05      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBK SEC INC 2005-H                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE1 M3           | CUSIP: 073879PT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       805148 | PA      | $809194.02      | 0.00%             | 2035-01-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2024-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2024 A A2 144A         | CUSIP: 70687FAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16959979 | PA      | $16980851.68    | 0.01%             | 2027-09-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-3                                                     | LEHMAN MORTGAGE TRUST LMT 2005 3 2A7                       | CUSIP: 52520MEF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        97208 | PA      | $82606.61       | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                              | SAXON ASSET SECURITIES TRUST SAST 2005 3 M5                | CUSIP: 805564SW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8994000 | PA      | $6261643.49     | 0.00%             | 2035-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2011-GC5                                          | GS MORTGAGE SECURITIES TRUST GSMS 2011 GC5 XA 144A         | CUSIP: 36191YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       684436 | PA      | $501.90         | 0.00%             | 2044-08-10      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX2500 FN 11/52 FIXED 6                          | CUSIP: 3140N6X64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1348185 | PA      | $1390215.39     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                 | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B B 144A         | CUSIP: 02007G4C4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5264667 | PA      | $5311749.01     | 0.00%             | 2032-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20251006                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $140233.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q63559 FG 05/49 FIXED 3.5                | CUSIP: 3132VP5V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2906216 | PA      | $2693320.29     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A B 144A                         | CUSIP: ACI2SNZB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     29536000 | PA      | $39816927.27    | 0.02%             | 2066-05-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                   | SMRT SMRT 2022 MINI A 144A                                 | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74604000 | PA      | $74536244.65    | 0.04%             | 2039-01-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA9                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB21          | CUSIP: 761118FJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       534543 | PA      | $186033.10      | 0.00%             | 2035-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1016 FN 09/47 FIXED 4                          | CUSIP: 3140GPDW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       315504 | PA      | $303340.13      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2D               | CUSIP: 617538AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4100056 | PA      | $2058616.39     | 0.00%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2854 FN 12/46 FIXED 2.5                        | CUSIP: 31418CE42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9856 | PA      | $8544.81        | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GATEWAY CREDIT TENANT LEASE                                                      | GATEWAY LEASE CTL A WHLN03785                              | CUSIP: 963SPPII4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     72703519 | PA      | $48929438.80    | 0.02%             | 2038-03-12      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2005-5                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 5 2A4             | CUSIP: 863576AH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23714 | PA      | $22883.81       | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 8/12/23-28Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $35989101.73    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 2A            | CUSIP: 61748HHD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       164126 | PA      | $149862.85      | 0.00%             | 2035-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-20831.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2024-HYB2 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB2 A1 144A             | CUSIP: 67118RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57918362 | PA      | $57073952.37    | 0.03%             | 2053-04-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW0985 FN 05/44 FIXED 4                          | CUSIP: 3138XQCX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30670 | PA      | $29810.67       | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8327 FN 11/46 FIXED 4                          | CUSIP: 3138WJHD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       214909 | PA      | $206736.85      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA TRUST 2006-15                                                               | GSAA HOME EQUITY TRUST GSAA 2006 15 AF6                    | CUSIP: 3622E8AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8014271 | PA      | $2013337.85     | 0.00%             | 2036-09-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.95000 06/12/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2727382.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUST RATE MTG LN 2004-13                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 13 A2             | CUSIP: 863579BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       129529 | PA      | $120625.90      | 0.00%             | 2034-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2322 FN 04/44 FIXED 4.5                        | CUSIP: 3138WBSL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76936 | PA      | $76403.58       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                            | ENVALIOR FINANCE GMBH EUR TERM LOAN B1                     | CUSIP: D255LZAB1<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |    118900000 | PA      | $132149344.53   | 0.07%             | 2030-03-29      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM4457 FN 07/35 FIXED VAR                        | CUSIP: 3140X75T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48482806 | PA      | $46930281.32    | 0.02%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO 2022 XVIIIA LTD                                                    | JAMESTOWN CLO LTD JTWN 2022 18A AR 144A                    | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     79100000 | PA      | $79189708.10    | 0.04%             | 2035-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1             | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       327019 | PA      | $288121.67      | 0.00%             | 2035-09-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                      | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  19652000000 | PA      | $129451910.61   | 0.06%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75          | CUSIP: ACI2YYK31<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      4155634 | PA      | $6199470.43     | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3968 FR 03/27 FIXED 3                  | CUSIP: 3131X7MR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4908 | PA      | $4864.07        | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84237 FG 05/48 FIXED 3.5                | CUSIP: 3132L9V69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48538 | PA      | $45005.40       | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR0028 FN 11/50 FIXED 4                          | CUSIP: 3140KXA63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       148241 | PA      | $140634.68      | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 2 3A1            | CUSIP: 07401EAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1331854 | PA      | $1179322.06     | 0.00%             | 2046-12-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 11A1           | CUSIP: 07384MZ88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       197379 | PA      | $188498.36      | 0.00%             | 2034-11-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8282 FN 11/46 FIXED 3.5                        | CUSIP: 3138WJFY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       131669 | PA      | $123093.59      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP JPM                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $127626.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-1                                                           | LEHMAN XS TRUST LXS 2007 1 2A1                             | CUSIP: 525241AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2210026 | PA      | $2281597.04     | 0.00%             | 2037-02-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-8                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 8 B1              | CUSIP: 576433RB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       414924 | PA      | $372734.17      | 0.00%             | 2034-09-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6403 FR 03/39 FIXED 4                  | CUSIP: 31329QDG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       299674 | PA      | $294892.56      | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                    | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    577600000 | PA      | $13545324.14    | 0.01%             | 2028-09-06      | Fixed         | 46.96%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 480324 GN 01/29 FIXED 6.49                       | CUSIP: 36209SSM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15530 | PA      | $15689.92       | 0.00%             | 2029-01-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4404 FN 08/52 FIXED 5                          | CUSIP: 3140QP3N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20136 | PA      | $20111.38       | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-AR1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 AR1 M2            | CUSIP: 59020UG33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2793287 | PA      | $2297960.37     | 0.00%             | 2036-06-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5539 FN 02/47 FIXED 4                          | CUSIP: 3140FREM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121931 | PA      | $117181.10      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8580 FN 01/47 FIXED 3.5                        | CUSIP: 3138WJRA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40508190 | PA      | $37887058.18    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0549 FN 10/47 FIXED 4                          | CUSIP: 3140Q7TF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       337260 | PA      | $324414.46      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080728 G2 08/33 FLOATING VAR                  | CUSIP: 36225CY26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2353 | PA      | $2409.72        | 0.00%             | 2033-08-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP1156 FN 01/50 FIXED 3.5                        | CUSIP: 3140K8JA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       280453 | PA      | $259293.38      | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A G 144A             | CUSIP: ACI2DJDW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9236035 | PA      | $12407610.52    | 0.01%             | 2053-03-14      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA6009 FN 05/50 FIXED 3.5                        | CUSIP: 3140QDVB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7708227 | PA      | $7082103.11     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS10                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS10 M4           | CUSIP: 75405WAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10475000 | PA      | $9278466.94     | 0.00%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A CR 144A                          | CUSIP: ACI1745T9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     38495000 | PA      | $43965774.08    | 0.02%             | 2054-10-29      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A3            | CUSIP: 68401TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4536075 | PA      | $2253655.97     | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.21 04/03/24-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-4716393.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-3                                           | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 3 M5             | CUSIP: 68383NBT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6091000 | PA      | $6021668.58     | 0.00%             | 2035-07-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL10                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP10 A1 144A        | CUSIP: 12655BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130893462 | PA      | $130329115.28   | 0.06%             | 2057-09-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA1                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA1 2A           | CUSIP: 93935NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4281254 | PA      | $3511079.84     | 0.00%             | 2046-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-D                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 D A3                 | CUSIP: 59020UGH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18247 | PA      | $17839.84       | 0.00%             | 2029-09-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9408 FN 07/47 FIXED 4                          | CUSIP: 3140FVN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39713 | PA      | $38202.42       | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-1                                                | VERUS SECURITIZATION TRUST VERUS 2023 1 A1 144A            | CUSIP: 92539BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12543250 | PA      | $12542172.40    | 0.01%             | 2067-12-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/31 0.125                                | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    115932998 | PA      | $108302286.45   | 0.05%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XVI LTD / PREFERRED TERM SECURITIES XVI INC            | PREFERRED TERM SECS XVI SR SECURED 144A 03/35 VAR          | CUSIP: 74041EAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      9678997 | PA      | $8953071.88     | 0.00%             | 2035-03-23      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                               | FANNIE MAE FNR 2004 63 FA                                  | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          486 | PA      | $477.56         | 0.00%             | 2034-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8244 FN 02/47 FIXED 4                          | CUSIP: 3140FUES3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       849911 | PA      | $817856.04      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-172138.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2779 FN 10/26 FIXED 2                          | CUSIP: 31418CCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          737 | PA      | $728.26         | 0.00%             | 2026-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1+24/8.78* 12/15/25-8Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $5195369.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.39500 10/17/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4620555.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE1 M1           | CUSIP: 07384YPX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1004078 | PA      | $1024858.33     | 0.00%             | 2034-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA C 144A         | CUSIP: 21050UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8391000 | PA      | $8528144.18     | 0.00%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J1 1A3           | CUSIP: 12668BJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       959365 | PA      | $645940.87      | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-CNP                                          | MORGAN STANLEY CAPITAL I TRUST MSC 2020 CNP A 144A         | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1767926.80     | 0.00%             | 2042-04-05      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO4                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO4 2A1           | CUSIP: 761118NN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       283247 | PA      | $172920.70      | 0.00%             | 2045-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3986 FN 04/35 FIXED 3.5                        | CUSIP: 31418DNC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15594 | PA      | $15193.92       | 0.00%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH8176 FN 05/26 FIXED 4                          | CUSIP: 3138AACN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2006 | PA      | $1999.17        | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A1          | CUSIP: 12668AFG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3895537 | PA      | $2153517.74     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA3869 FR 10/49 FIXED 3.5                | CUSIP: 31339UJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1964812 | PA      | $1816187.42     | 0.00%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 335                                                           | FREDDIEMAC STRIP FHS 335 V2                                | CUSIP: 3132HUAY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4085715 | PA      | $4017156.50     | 0.00%             | 2044-08-15      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A3 3A1           | CUSIP: 161639BH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       231053 | PA      | $199592.60      | 0.00%             | 2037-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRUST 2006-W1                     | STRUCTURED ASSET SECURITIES CO SASC 2006 W1A A1 144A       | CUSIP: 86361CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13711389 | PA      | $13233416.76    | 0.01%             | 2046-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A A3              | CUSIP: 30165BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21770989 | PA      | $21780716.49    | 0.01%             | 2028-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2004-3                                                 | SAXON ASSET SECURITIES TRUST SAST 2004 3 B3                | CUSIP: 805564RD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       532275 | PA      | $72929.69       | 0.00%             | 2034-12-26      | Floating      | 9.15%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A      | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107921547 | PA      | $109519033.95   | 0.05%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251014                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-2902145.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A4             | CUSIP: 61752UAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16902205 | PA      | $8785008.83     | 0.00%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-13AX                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 13AX A2            | CUSIP: 61750PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2119683 | PA      | $591095.91      | 0.00%             | 2036-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2007-19                                          | COUNTRYWIDE HOME LOANS CWHL 2007 19 2A1                    | CUSIP: 12544PAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12576999 | PA      | $5991077.19     | 0.00%             | 2047-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-8T1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 8T1 1A1          | CUSIP: 12668BME0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6028047 | PA      | $2200122.52     | 0.00%             | 2036-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ARES LXV CLO LTD                                                                 | ARES CLO LTD ARES 2022 65A A2R 144A                        | CUSIP: 04019FAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11200000 | PA      | $11277914.14    | 0.01%             | 2034-07-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                     | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/28 6.75        | CUSIP: ACI2L7Q61<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      2067187 | PA      | $320413.99      | 0.00%             | 2028-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A2            | CUSIP: 251513AU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7539767 | PA      | $6605614.50     | 0.00%             | 2036-10-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA1                           | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA1 2A1          | CUSIP: 32051GV44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       561563 | PA      | $467821.84      | 0.00%             | 2036-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9               | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    308914000 | PA      | $93093701.31    | 0.05%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 304                                                           | FREDDIEMAC STRIP FHS 304 C21                               | CUSIP: 31325UPA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11961396 | PA      | $1836568.82     | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A1             | CUSIP: 576433A71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       131835 | PA      | $118056.40      | 0.00%             | 2035-07-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| TRAINER WORTHAM FIRST REPUBLIC CBO V LTD                                         | TRAINER WORTHAM FIRST REPUBLIC TRAIN 2004 5A A2 144A       | CUSIP: 89288FAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4689651 | PA      | $1705072.51     | 0.00%             | 2040-01-04      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4084 FN 10/47 FIXED 3.5                        | CUSIP: 3140GSRE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55533 | PA      | $51855.80       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2018-RPL6                                                            | CSMCM TRUST CERTIFICATES CSMCM 2018 RPL6 CERT 144A         | CUSIP: 12656FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96772095 | PA      | $69489428.62    | 0.03%             | 2048-09-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2008-W1X                                                     | LUDGATE FUNDING PLC LGATE 2008 W1X A1 REGS                 | CUSIP: G571A3BB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2849172 | PA      | $3799899.59     | 0.00%             | 2061-01-01      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.67900 08/13/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-593961.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 5A                                                  | ALESCO PREFERRED FUNDING LTD ALESC 5A A2 144A              | CUSIP: 01448TAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2202621 | PA      | $2092489.57     | 0.00%             | 2034-12-23      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2003-BC2                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 BC2 2A1            | CUSIP: 126671YB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3874 | PA      | $3869.23        | 0.00%             | 2033-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8795 FN 03/53 FIXED 5                          | CUSIP: 3140NDXZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1446533 | PA      | $1440702.94     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91484 FG 08/32 FIXED 3                  | CUSIP: 3128P7UH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94517 | PA      | $91993.97       | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC SR SECURED 06/31 3.25               | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     86160000 | PA      | $79274186.71    | 0.04%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK3264 FN 02/27 FIXED 3                          | CUSIP: 3138E7TW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18026 | PA      | $17869.36       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 3A1            | CUSIP: 05948XBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           78 | PA      | $76.72          | 0.00%             | 2033-05-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A2          | CUSIP: 12667GLC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2138438 | PA      | $1737157.43     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0693 FN 11/47 FIXED 3.5                        | CUSIP: 3140Q7XX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       405917 | PA      | $377675.97      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3825 FR 09/53 FIXED 6.5                | CUSIP: 3132E0HA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35046821 | PA      | $36256758.17    | 0.02%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q41883 FG 07/46 FIXED 3                  | CUSIP: 3132WFCV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1753931 | PA      | $1589168.84     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $131723.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRUST 2006-OW1                    | STRUCTURED ASSET SECURITIES CO SASC 2006 OW1 A5 144A       | CUSIP: 863576ER1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10453871 | PA      | $9581905.11     | 0.00%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2005-2                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2005 2 M1             | CUSIP: 73316PCK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2155564 | PA      | $2131266.86     | 0.00%             | 2035-04-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA E 144A                       | CUSIP: ACI2QV5W9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     28025000 | PA      | $37291115.45    | 0.02%             | 2055-05-28      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR3                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR3 A6            | CUSIP: 25151AAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6166343 | PA      | $5581766.39     | 0.00%             | 2036-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 324496 FN 03/26 FIXED 6.5                        | CUSIP: 31374UNM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          496 | PA      | $512.19         | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)                                        | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR           | CUSIP: 00846NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105720000 | PA      | $71469363.00    | 0.04%             | 2067-01-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5097 FN 02/53 FIXED 5.5                        | CUSIP: 3140N9UX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40892 | PA      | $41374.70       | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A4            | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20300000 | PA      | $20621507.34    | 0.01%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| DUKE FUNDING LTD 2005-HG3A                                                       | DUKE FUNDING LTD DUKEF 2005 HG3A A2 144A                   | CUSIP: 2644EPAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    102000000 | PA      | $10200.00       | 0.00%             | 2049-08-02      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED 144A 07/29 5.125               | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     51547000 | PA      | $44281450.35    | 0.02%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-K                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 K 2A1            | CUSIP: 05949CMS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1175282 | PA      | $1080861.50     | 0.00%             | 2035-12-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-9620215.72    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 1A            | CUSIP: 86359BEF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4188 | PA      | $4038.32        | 0.00%             | 2034-01-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| DAVIS SQUARE FUNDING LTD 2005-5A                                                 | DAVIS SQUARE FUNDING LTD DVSQ 2005 5A A1A 144A             | CUSIP: 239156AG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    583584246 | PA      | $200509625.86   | 0.10%             | 2040-10-08      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBCKD SEC 2006-SD1                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD1 M2           | CUSIP: 07384YVH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4636679 | PA      | $4840018.89     | 0.00%             | 2036-04-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290503                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $1544751.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CLO V LTD                                                                 | ROMARK CLO LTD RMRK 2021 5A AR 144A                        | CUSIP: 77588PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     85400000 | PA      | $85730786.65    | 0.04%             | 2035-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S3                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S3 1A6            | CUSIP: 74958BAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1765808 | PA      | $1234614.69     | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2007-1                                                          | MORTGAGEIT TRUST MHL 2007 1 2A12                           | CUSIP: 61915YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1266761 | PA      | $1085325.54     | 0.00%             | 2047-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-59                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 59 1A1           | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22960285 | PA      | $22279420.68    | 0.01%             | 2035-11-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5623 FN 01/48 FIXED 4.5                        | CUSIP: 3140H7G92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141813 | PA      | $140042.26      | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F              | CUSIP: 38375UXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18215549 | PA      | $18265441.57    | 0.01%             | 2066-05-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1416891.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CRSNT TRUST 2021-MOON                                                            | CRSNT TRUST CRSNT 2021 MOON XCP 144A                       | CUSIP: 22877LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175301000 | PA      | $26.30          | 0.00%             | 2036-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG8926 G2 06/48 FIXED 4                       | CUSIP: 3617GT4K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       756737 | PA      | $716916.79      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251203                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $111372.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                                | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                     | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8814633 | PA      | $8831402.59     | 0.00%             | 2039-02-17      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 2A2A          | CUSIP: 41161PKA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124866 | PA      | $100643.01      | 0.00%             | 2035-01-19      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.37000 10/09/23-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $7887879.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF1 LLC                                                               | PRP ADVISORS, LLC PRPM 2023 RCF1 A1 144A                   | CUSIP: 69381AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29380396 | PA      | $29100803.41    | 0.01%             | 2053-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4506 FN 02/30 FIXED 3                          | CUSIP: 3138WEAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       183238 | PA      | $179916.09      | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 12/25 0.00000                                | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      6627000 | PA      | $6581136.72     | 0.00%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2018-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2018 1 AA PTT PASS THRU CE 09/31 3.5            | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2862622 | PA      | $2751407.73     | 0.00%             | 2031-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8502 FR 10/28 FIXED 3                  | CUSIP: 3132A9NT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24984 | PA      | $24639.73       | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                       | SPRINT LLC COMPANY GUAR 03/26 7.625                        | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |     11900000 | PA      | $11926869.01    | 0.01%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-4N                                                          | LEHMAN XS TRUST LXS 2007 4N 2A                             | CUSIP: 52524HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49207673 | PA      | $42337519.45    | 0.02%             | 2047-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK9778 FN 08/48 FIXED 4                          | CUSIP: 3140HP2L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       140661 | PA      | $134982.83      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 2A1          | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       349708 | PA      | $320898.27      | 0.00%             | 2035-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/49 1                                    | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    623738732 | PA      | $460715271.08   | 0.23%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-10                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 10 1A1                    | CUSIP: 126694Z76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       773235 | PA      | $295818.59      | 0.00%             | 2036-05-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 2YR NOTE (CBT) DEC25 XCBT 20251231                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        14033 | NC      | $2075241.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 42A LTD                                                                  | KKR FINANCIAL CLO LTD KKR 42A AR 144A                      | CUSIP: 48255EAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     95400000 | PA      | $95401195.36    | 0.05%             | 2034-07-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                                | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1             | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       301817 | PA      | $301254.89      | 0.00%             | 2042-11-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $1068487.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 2 2A1            | CUSIP: 07401EAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3885528 | PA      | $3276426.81     | 0.00%             | 2046-12-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS10                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS10 A7           | CUSIP: 751155AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       204684 | PA      | $174504.68      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 1A1             | CUSIP: 05951VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       649295 | PA      | $642026.46      | 0.00%             | 2036-12-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2088 FN 09/26 FIXED VAR                        | CUSIP: 3138EJKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          434 | PA      | $432.57         | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60765 FG 11/46 FIXED 3                  | CUSIP: 31335AZ68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54314 | PA      | $49194.58       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2025 2A A2              | CUSIP: 30168JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17286122 | PA      | $17296559.86    | 0.01%             | 2027-06-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6560 FR 07/53 FIXED 5.5                | CUSIP: 3133C7JD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39813555 | PA      | $40306979.29    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                                       | LCM LTD PARTNERSHIP LCM 31A AR 144A                        | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     42800000 | PA      | $42856066.29    | 0.02%             | 2034-07-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 AIOS 144A    | CUSIP: 36265TAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269901736 | PA      | $1650192.71     | 0.00%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3597 FN 02/49 FIXED 3.5                        | CUSIP: 31418C7K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4196 | PA      | $3884.98        | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0723 FN 02/48 FIXED 4                          | CUSIP: 3140HDYV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1007670 | PA      | $968093.03      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS1                                              | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS1 A4            | CUSIP: 74924SAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3890421 | PA      | $3800572.22     | 0.00%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $1416285.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9152 FN 09/45 FIXED 3.5                        | CUSIP: 3140E2E23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27022 | PA      | $25418.21       | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX1223 FN 10/52 FIXED 5.5                        | CUSIP: 3140N5LD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       214505 | PA      | $218512.55      | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUNDING TR 2007-AR                                             | BEAR STEARNS MORTGAGE FUNDING BSMF 2007 AR5 2A1            | CUSIP: 07400NAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6379982 | PA      | $6049249.69     | 0.00%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS8                                              | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS8 MI3           | CUSIP: 76110WC95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       895141 | PA      | $842164.48      | 0.00%             | 2034-09-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.73000 02/24/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-19886741.71   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 4A1          | CUSIP: 45660LW70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20903 | PA      | $18791.32       | 0.00%             | 2036-01-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2003-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2003 6 1A1                  | CUSIP: 07386HDZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84481 | PA      | $82323.00       | 0.00%             | 2034-01-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2002 3 4A1             | CUSIP: 576433BM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29125 | PA      | $29602.56       | 0.00%             | 2032-10-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2007-1                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2007 1 M2              | CUSIP: 00438QAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4773607.00     | 0.00%             | 2037-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-SPL1                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 SPL1 PT 144A        | CUSIP: 12654VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    489808234 | PA      | $523127046.76   | 0.26%             | 2049-07-25      | Fixed         | 7.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $382.38         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 1A1          | CUSIP: 36185MBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        90836 | PA      | $74651.62       | 0.00%             | 2035-11-19      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 480325 GN 07/28 FIXED 6.1                        | CUSIP: 36209SSN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11446 | PA      | $11612.84       | 0.00%             | 2028-07-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HOLDING SA SR SECURED REGS 06/30 7.5               | CUSIP: L26915AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |       407953 | PA      | $399611.01      | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A7          | CUSIP: 02147QAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1588946 | PA      | $893534.20      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2014-UBS4                          | COMM MORTGAGE TRUST COMM 2014 UBS4 XA                      | CUSIP: 12591QAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24403075 | PA      | $84678.67       | 0.00%             | 2047-08-10      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.41000 07/31/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1666391.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 2A           | CUSIP: 07387YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       658339 | PA      | $598382.14      | 0.00%             | 2037-08-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65000 03/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $142479.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 B2 144A        | CUSIP: 12594YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186005219 | PA      | $136642744.77   | 0.07%             | 2056-02-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                    | HESTIA RE LTD UNSECURED 144A 03/32 VAR                     | CUSIP: 42815KAD4<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |      3600000 | PA      | $3738780.00     | 0.00%             | 2032-03-13      | Floating      | 12.21%                | No            |                  2 | On Loan: No      |
| CENDANT MORT CAPITAL LLC CDMC MORT PAS THR CE SE 03 6 2003-6                     | CENDANT MORTGAGE CORPORATION CDMC 2003 6 A5                | CUSIP: 15132EEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34194 | PA      | $33039.04       | 0.00%             | 2033-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-FR1                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 FR1 M4            | CUSIP: 03072SQU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5524637 | PA      | $4740983.74     | 0.00%             | 2034-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9008 FN 04/28 FIXED 3                          | CUSIP: 31417GAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       130821 | PA      | $129015.95      | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 410927 FH 11/35 FLOATING VAR             | CUSIP: 31337BA46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29475 | PA      | $30503.47       | 0.00%             | 2035-11-01      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $622271.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX MAIN44 5Y ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $5363165.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR9 1A1           | CUSIP: 45660LMV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4102531 | PA      | $2159626.00     | 0.00%             | 2035-07-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-2A                                                      | AFFIRM MASTER TRUST AFRMT 2025 2A A 144A                   | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82500000 | PA      | $83024337.00    | 0.04%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 1A1             | CUSIP: 059515AV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10053 | PA      | $9848.17        | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT2                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A2           | CUSIP: 00075XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1314885 | PA      | $1222677.21     | 0.00%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                          | BCAP LLC TRUST BCAP 2011 R11 10A8 144A                     | CUSIP: 05533FDC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       117286 | PA      | $113466.39      | 0.00%             | 2035-11-26      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A              | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2242566 | PA      | $2157874.63     | 0.00%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1048 FN 10/53 FIXED 6.5                        | CUSIP: 3140A1EW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       220143 | PA      | $228031.31      | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-365012.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |            1 | NC      | $3171765.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                           | CVS PASS THROUGH TRUST PASS THRU CE 01/28 5.88             | CUSIP: 126650BC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       393294 | PA      | $396363.68      | 0.00%             | 2028-01-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1839 FN 05/27 FIXED VAR                        | CUSIP: 3138EJBH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3801 | PA      | $3766.96        | 0.00%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9420 FN 03/53 FIXED 5                          | CUSIP: 3140NEPE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14457554 | PA      | $14429125.06    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H29 FB             | CUSIP: 38376RMD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6683230 | PA      | $6696778.31     | 0.00%             | 2065-11-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-3A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 3A A2 144A           | CUSIP: 505709AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10547460 | PA      | $10555408.00    | 0.01%             | 2027-11-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-C                                                        | CENTEX HOME EQUITY CXHE 2004 C M2                          | CUSIP: 152314KS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        72793 | PA      | $71600.22       | 0.00%             | 2034-06-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVIII LTD/PREFERRED TERM SECURITIES XXVIII INC        | PREF TERM SEC XXVIII LTD SR SECURED 144A 03/38 VAR         | CUSIP: 74042CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     14080982 | PA      | $13735997.91    | 0.01%             | 2038-03-22      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2A           | CUSIP: 81377GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6285905 | PA      | $2054798.78     | 0.00%             | 2036-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2014-10R                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 10R 2A2 144A        | CUSIP: 12649BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1423158 | PA      | $1255106.16     | 0.00%             | 2036-05-27      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-16HE                                                  | TERWIN MORTGAGE TRUST TMTS 2005 16HE AV3                   | CUSIP: 881561ZG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9371104 | PA      | $3745708.24     | 0.00%             | 2036-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-130124.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-95                                                               | FANNIE MAE FNR 2006 95 SH                                  | CUSIP: 31396K4L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       631046 | PA      | $63504.35       | 0.00%             | 2036-10-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-SEA1                                                            | GSAMP TRUST GSAMP 2007 SEA1 A 144A                         | CUSIP: 3622MLAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       368487 | PA      | $366385.16      | 0.00%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 3 A2 144A          | CUSIP: 29375QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10615317 | PA      | $10673293.03    | 0.01%             | 2027-04-20      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q45252 FG 01/47 FIXED 3                  | CUSIP: 3132WJZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       123095 | PA      | $111454.74      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN GENERAL MORTGAGE LOAN TRUST 2010-1A                                     | AMERICAN GENERAL MORTGAGE LOAN AGFMT 2010 1A CE 144A       | CUSIP: 02640FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64888714 | PA      | $51828075.62    | 0.03%             | 2058-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $109434.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2007-1                                                           | FIRST NLC TRUST FNLC 2007 1 A1 144A                        | CUSIP: 32115BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3993843 | PA      | $2014347.65     | 0.00%             | 2037-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-RPL3                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2022 RPL3 SA 144A      | CUSIP: 36267AAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       598997 | PA      | $585698.61      | 0.00%             | 2062-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-9                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 9 A1                      | CUSIP: 81744FDV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1018888 | PA      | $939254.86      | 0.00%             | 2034-10-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1268481.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A       | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1922869.60     | 0.00%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-20151.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BONANZA RE LTD                                                                   | BONANZA RE LTD UNSECURED 144A 01/26 VAR                    | CUSIP: 09785EAN1<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |      2500000 | PA      | $2435000.00     | 0.00%             | 2026-01-08      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES9                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES9 A1A 144A        | CUSIP: 74942JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81600000 | PA      | $81457602.29    | 0.04%             | 2055-09-25      | Fixed         | 4.79%                 | No            |                  3 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                                         | BCAP LLC TRUST BCAP 2010 RR11 8A2 144A                     | CUSIP: 05533JBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4368778 | PA      | $3962151.69     | 0.00%             | 2037-05-27      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR8                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR8 2A1A          | CUSIP: 45660LJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1255694 | PA      | $1194133.22     | 0.00%             | 2035-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R1                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M5             | CUSIP: 03072SYC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6952000 | PA      | $6785459.97     | 0.00%             | 2035-03-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55500 03/05/24-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3040272.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0TJA7 PIMCO FPPSWAPTION 2.17 CALL USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    141400000 | NC      | $3284326.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $892336.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2005-HE2                                         | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE2 M3           | CUSIP: 04541GQD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43210 | PA      | $43626.40       | 0.00%             | 2035-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                                     | ACE SECURITIES CORP. ACE 2007 WM1 A2D                      | CUSIP: 004424AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8043851 | PA      | $3308941.72     | 0.00%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4116                                                          | FREDDIE MAC FHR 4116 PS                                    | CUSIP: 3137AVMW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1020988 | PA      | $89449.14       | 0.00%             | 2042-01-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/0.4000 06/15/22-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $36555974.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $423966.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.10457 07/28/23-01/02/26 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-12633693.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2325 FR 03/53 FIXED 5.5                | CUSIP: 3132DPSN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28737658 | PA      | $29147492.07    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-4                                                   | CSAB MORTGAGE BACKED TRUST CSAB 2006 4 A5                  | CUSIP: 12628LAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15450469 | PA      | $2201858.63     | 0.00%             | 2036-12-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-7                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 7 2A3A            | CUSIP: 17307GB80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       204262 | PA      | $137140.21      | 0.00%             | 2035-09-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251020                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $711521.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DFC HEL TRUST 2001-2                                                             | DFC HEL TRUST DFCHT 2001 2 M1                              | CUSIP: 233205AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1150008 | PA      | $1094142.79     | 0.00%             | 2031-12-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-8                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2024 8 A1 144A               | CUSIP: 03465QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17271799 | PA      | $17360493.14    | 0.01%             | 2069-05-27      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR5                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR5 1A1           | CUSIP: 45669EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14671693 | PA      | $9802337.15     | 0.00%             | 2037-05-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948690 FN 08/37 FIXED 6                          | CUSIP: 31413LNF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       114807 | PA      | $120676.67      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D A1B 144A         | CUSIP: 78450PAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111652382 | PA      | $113719168.44   | 0.06%             | 2053-09-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2004-NC7                                              | MORGAN STANLEY CAPITAL INC MSAC 2004 NC7 M3                | CUSIP: 61744CFR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       225384 | PA      | $240111.97      | 0.00%             | 2034-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES LN TR 2007-1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 1 1A4B            | CUSIP: 25151YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5630476 | PA      | $4564147.28     | 0.00%             | 2037-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-1A                                                      | AFFIRM MASTER TRUST AFRMT 2025 1A A 144A                   | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97700000 | PA      | $98535540.17    | 0.05%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A6                                         | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A6 1A7            | CUSIP: 12566RAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4771880 | PA      | $4533000.58     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-5                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M4              | CUSIP: 86358ETJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1279986 | PA      | $1241304.07     | 0.00%             | 2035-06-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-OPT1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 OPT1 A2C          | CUSIP: 59022VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       184005 | PA      | $176589.62      | 0.00%             | 2037-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8347 FN 12/33 FIXED VAR                        | CUSIP: 3140XCHZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83682 | PA      | $81601.10       | 0.00%             | 2033-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4796 FN 04/45 FIXED 3.5                        | CUSIP: 3138WEKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9395520 | PA      | $8838016.26     | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-1221028.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-2                                                    | LENDMARK FUNDING TRUST LFT 2024 2A A 144A                  | CUSIP: 52590AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18900000 | PA      | $18933893.37    | 0.01%             | 2034-02-21      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.16500 09/27/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $9562235.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251001                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $8493.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-143107.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1166 FN 05/47 FIXED 4                          | CUSIP: 3140GPJL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2799906 | PA      | $2693421.95     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255071 FN 01/34 FIXED 6.5                        | CUSIP: 31371LJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1146 | PA      | $1202.00        | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-4                                              | SAXON ASSET SECURITIES TRUST SAST 2005 4 M4                | CUSIP: 805564TM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5425922 | PA      | $4579926.09     | 0.00%             | 2037-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0868 FN 09/53 FIXED 6.5                        | CUSIP: 3140A06E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       882485 | PA      | $914061.81      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC3171 FN 03/46 FIXED 3.5                        | CUSIP: 3140EXQZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81335 | PA      | $76340.30       | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-R12                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M4            | CUSIP: 03072SXG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2183676 | PA      | $2100033.06     | 0.00%             | 2035-01-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 05/28 4.95                 | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      4355000 | PA      | $4427935.80     | 0.00%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-4Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-17112.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7593 FN 11/46 FIXED 4                          | CUSIP: 3140FFNK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       418395 | PA      | $402789.89      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1042 FN 10/53 FIXED 6.5                        | CUSIP: 3140A1EQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2219274 | PA      | $2300098.97     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.87000 03/05/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-994335.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 06/18/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $90732980.31    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2938 FN 03/47 FIXED 4.5                        | CUSIP: 31418CHQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3527 | PA      | $3475.30        | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1+24/8.41* 12/11/25-0Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $694664.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA8645 FN 01/51 FIXED 4                          | CUSIP: 3140QGTB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24701 | PA      | $23459.43       | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-5F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 5F 2A4                    | CUSIP: 36297XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201912 | PA      | $531969.21      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-3                                           | JP MORGAN MORTGAGE TRUST JPMMT 2025 3 A1D 144A             | CUSIP: 46593RAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41638340 | PA      | $41870082.58    | 0.02%             | 2055-09-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 3A A2 144A       | CUSIP: 78436XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12554074 | PA      | $12572746.49    | 0.01%             | 2028-05-22      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL3                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL3 SA 144A      | CUSIP: 36269VAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       492126 | PA      | $486327.91      | 0.00%             | 2064-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX SA COMMON STOCK                           | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |         3951 | NS      | $85605.00       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6783 FN 05/46 FIXED 3.5                        | CUSIP: 3140F2RD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       155035 | PA      | $145387.61      | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2012-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2012 4 1A 144A          | CUSIP: 74931PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71213786 | PA      | $50963220.50    | 0.03%             | 2047-09-28      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-6HE                                                   | TERWIN MORTGAGE TRUST TMTS 2005 6HE M6                     | CUSIP: 881561RE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1857315 | PA      | $1861567.04     | 0.00%             | 2036-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-L                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 L 2A1            | CUSIP: 05949AZE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3703557 | PA      | $3624754.03     | 0.00%             | 2035-01-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND FUTURE  DEC25 XEUR 20251208                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -21513 | NC      | $-8428556.74    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 13T1 A11         | CUSIP: 12668BZM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1303841 | PA      | $597021.51      | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-3                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 3 M3              | CUSIP: 86358ERX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       253772 | PA      | $251782.04      | 0.00%             | 2035-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 3A AR 144A       | CUSIP: ACI2S2BG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     51570343 | PA      | $60504981.09    | 0.03%             | 2033-05-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-76                                                               | FANNIE MAE FNR 2010 76 ZC                                  | CUSIP: 31398TFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       958091 | PA      | $954702.68      | 0.00%             | 2040-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8896 FN 11/46 FIXED 3                          | CUSIP: 3140FG3E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41012 | PA      | $37088.35       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A21         | CUSIP: 02150GAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2337972 | PA      | $957255.01      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 3A1         | CUSIP: 94984MAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       758576 | PA      | $709085.56      | 0.00%             | 2036-10-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY6182 FN 03/45 FIXED 4                          | CUSIP: 3138YK2Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       365178 | PA      | $351595.14      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J12                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J12 1A3          | CUSIP: 12668ASR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1659452 | PA      | $782634.29      | 0.00%             | 2035-11-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| TESLA ELECTRIC VEHICLE TRUST 2023-1                                              | TESLA ELECTRIC VEHICLE TRUST TEVT 2023 1 A3 144A           | CUSIP: 881943AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45000000 | PA      | $45440721.00    | 0.02%             | 2028-06-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $847328.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FFC SENIOR NOTE LEASE-BACKED PASS-THROUGH TRUST                                  | FFC PASS THROUGH TRUST PASS THRU CE 144A 07/53 5.141       | CUSIP: 30259GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     46854388 | PA      | $39140997.45    | 0.02%             | 2053-07-10      | Fixed         | 5.14%                 | No            |                  3 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                             | GSAMP TRUST GSAMP 2006 FM3 A2C                             | CUSIP: 36245TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12151457 | PA      | $5676936.06     | 0.00%             | 2036-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-EM                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 EMX1 M2 144A      | CUSIP: 07402LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1100000 | PA      | $1069374.02     | 0.00%             | 2037-03-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 4A1A                 | CUSIP: 126694BP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       520626 | PA      | $513494.17      | 0.00%             | 2035-10-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-AA5                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA5 A1           | CUSIP: 32052QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1991428 | PA      | $1498205.15     | 0.00%             | 2036-09-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-44934481.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8949 FN 03/47 FIXED 3.5                        | CUSIP: 3138WJ5K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       778220 | PA      | $727290.34      | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR11                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR11 1A           | CUSIP: 93363TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3491323 | PA      | $2962981.15     | 0.00%             | 2046-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-365012.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4353 FR 10/47 FIXED 4                  | CUSIP: 3131XXZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13521 | PA      | $13002.98       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A2           | CUSIP: 86360UAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6660 | PA      | $3373.79        | 0.00%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A1B          | CUSIP: 46630XAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1493098 | PA      | $1485984.58     | 0.00%             | 2037-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-183608.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 468306 GN 02/28 FIXED 6.49                       | CUSIP: 36209DGP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6106 | PA      | $6175.92        | 0.00%             | 2028-02-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 NC1 A1 144A       | CUSIP: 81378AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5823755 | PA      | $5453081.53     | 0.00%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-104399.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                             | DISH DBS CORP SR SECURED 144A 12/26 5.25                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    284326000 | PA      | $279615940.78   | 0.14%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-DO1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 DO1 M6            | CUSIP: 83611MEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3297966 | PA      | $3308522.12     | 0.00%             | 2035-05-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-C                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 C 4A2             | CUSIP: 059522BD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1218657 | PA      | $1078162.11     | 0.00%             | 2036-05-20      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-B TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 B C               | CUSIP: 83407KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20600000 | PA      | $20824033.65    | 0.01%             | 2034-06-15      | Fixed         | 5.19%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2333 FN 02/50 FIXED VAR                        | CUSIP: 3140X5SX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7345529 | PA      | $6834342.67     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-6                                                 | TOWD POINT MORTGAGE TRUST TPMT 2017 6 A2 144A              | CUSIP: 89175JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8700000 | PA      | $8361068.01     | 0.00%             | 2057-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2024-1A LTD                                                      | APEX CREDIT CLO LLC APEXC 2024 1A A1 144A                  | CUSIP: 03753AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     76200000 | PA      | $76597578.07    | 0.04%             | 2036-04-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080023 G2 12/26 FLOATING VAR                  | CUSIP: 36225CAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          143 | PA      | $144.07         | 0.00%             | 2026-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-2513.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/44 1.375                                | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    135331150 | PA      | $115838925.31   | 0.06%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08856 FG 01/49 FIXED 3.5                | CUSIP: 3128MJ5S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4546600 | PA      | $4215238.75     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/27 6.259                     | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     71656000 | PA      | $73757033.46    | 0.04%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $225604304.76   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BOBL FUTURE  DEC25 XEUR 20251208                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -10837 | NC      | $2379028.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE1                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE1 A3            | CUSIP: 45071KDD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9319014 | PA      | $4875052.01     | 0.00%             | 2036-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08706 FG 05/46 FIXED 3.5                | CUSIP: 3128MJYC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7058 | PA      | $6618.14        | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 651623 FN 07/32 FLOATING VAR                     | CUSIP: 31390N4G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3496 | PA      | $3570.08        | 0.00%             | 2032-07-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260325                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-453611.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1065 FN 04/53 FIXED 5                          | CUSIP: 3140NHFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1944263 | PA      | $1932467.36     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A A 144A                                | CUSIP: ACI2J98X1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    317351356 | PA      | $428571195.06   | 0.21%             | 2050-11-28      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  MAR26 XCME 20260616                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2497 | NC      | $8228658.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3 JUMBOS                                 | CUSIP: 21H0306A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2721810 | PA      | $2430273.31     | 0.00%             | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                           | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                     | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |     55486009 | PA      | $54293891.76    | 0.03%             | 2027-05-13      | Floating      | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2422188.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL5                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL5 B1 144A        | CUSIP: 12655JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143653300 | PA      | $132575648.15   | 0.07%             | 2076-11-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                                        | MARBLE POINT CLO MP22 2021 2A AR 144A                      | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     87800000 | PA      | $87916635.28    | 0.04%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0U5A9 PIMCO FPPSWAPTION 2.4 PUT USD                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    158900000 | NC      | $41862872.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6692 FN 03/48 FIXED 3.5                        | CUSIP: 3140H8NJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       315270 | PA      | $301460.94      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC 11/62 0                                 | CUSIP: ACI2P8113<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       703000 | PA      | $4166.66        | 0.00%             | 2062-11-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 A5 144A       | CUSIP: 17329NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1451995636 | PA      | $1245889211.86  | 0.62%             | 2065-03-01      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK7588 FR 02/29 FIXED 3                  | CUSIP: 3131XBND7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11715 | PA      | $11573.13       | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM7491 FR 07/48 FIXED 5                  | CUSIP: 3131Y2KC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       197200 | PA      | $197654.88      | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 642345 FN 05/32 FIXED 6.5                        | CUSIP: 31390CTA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10411 | PA      | $10749.75       | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A C                              | CUSIP: ACI2P7XQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     21161000 | PA      | $28740804.47    | 0.01%             | 2062-11-16      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08756 FG 04/47 FIXED 3                  | CUSIP: 3128MJZW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17138758 | PA      | $15517848.59    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.84000 01/08/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1594055.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NRPL-2023-RPL1                                                                   | NRPL TRUST SERIES NRPL 2023 RPL1 PT 144A                   | CUSIP: 62955FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156503334 | PA      | $137495941.59   | 0.07%             | 2062-09-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3951                                                          | FREDDIE MAC FHR 3951 US                                    | CUSIP: 3137AHVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       396485 | PA      | $372262.87      | 0.00%             | 2040-02-15      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                               | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                   | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14700000 | PA      | $14725118.92    | 0.01%             | 2034-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4902 G2 12/47 FIXED 4.5                     | CUSIP: 36179TNT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98380 | PA      | $97681.01       | 0.00%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R5                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R5 M2             | CUSIP: 03072SRY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       744323 | PA      | $738782.85      | 0.00%             | 2034-07-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| BXP TRUST 2017-GM                                                                | BXP TRUST BXP 2017 GM A 144A                               | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28700000 | PA      | $28051994.18    | 0.01%             | 2039-06-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD5139 FN 03/26 FIXED 4                          | CUSIP: 31418SV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          464 | PA      | $462.14         | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                                         | NATIONAL FOOTBAL LEAGUE 4.5YR                              | CUSIP: 902EYJ902<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38400000 | PA      | $39336882.43    | 0.02%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-249858.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-2 SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-607556.78     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005-HE4                            | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE4 M3           | CUSIP: 073879TV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2948327 | PA      | $2958590.35     | 0.00%             | 2035-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 10/26 0.125                                | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1009910745 | PA      | $1004423132.39  | 0.50%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR27                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR27 2A1          | CUSIP: 45660LN96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4339872 | PA      | $3036272.88     | 0.00%             | 2035-12-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2018-3A                                                | NELNET STUDENT LOAN TRUST NSLT 2018 3A A2 144A             | CUSIP: 64034AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       114304 | PA      | $114289.57      | 0.00%             | 2066-09-27      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                          | COUNTRY GARDEN HLDGS SR SECURED REGS 07/26 2.7             | CUSIP: ACI1TXND6<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     17940000 | PA      | $1945198.32     | 0.00%             | 2026-07-12      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/26 2          | CUSIP: 654740BS7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     44978000 | PA      | $44289103.46    | 0.02%             | 2026-03-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                            | MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 3B 144A          | CUSIP: 61759FAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10745924 | PA      | $5650843.12     | 0.00%             | 2047-08-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8332 FR 06/53 FIXED 6                  | CUSIP: 3132DWHH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19404 | PA      | $19910.29       | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1A 144A         | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42359601 | PA      | $43654800.56    | 0.02%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5118 FN 01/53 FIXED 5.5                        | CUSIP: 3140MWVL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       849227 | PA      | $860417.72      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 909164 FN 03/38 FIXED 4.5                        | CUSIP: 31411JB96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5099 | PA      | $5139.62        | 0.00%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CAMBER 4A                                                                        | CAMBER CAMBR 4A A1A 144A                                   | CUSIP: 13189MAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    198149038 | PA      | $19814.90       | 0.00%             | 2053-11-09      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1231 FN 05/53 FIXED 6                          | CUSIP: 3140NHLM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1344753 | PA      | $1382584.04     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804641 FN 12/34 FIXED 6                          | CUSIP: 31406A5A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1591 | PA      | $1633.80        | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2006-B                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2006 B M2              | CUSIP: 63860FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25434146 | PA      | $25232132.99    | 0.01%             | 2036-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 2.75000 06/17/16-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-175851.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A4A           | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7433883 | PA      | $6611233.07     | 0.00%             | 2037-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-79372.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.46500 10/30/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4690584.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW8962 FN 09/52 FIXED 5.5                        | CUSIP: 3140N15Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2756910 | PA      | $2792313.14     | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-4                                                    | GSAA HOME EQUITY TRUST GSAA 2007 4 A1                      | CUSIP: 3622EBAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29614101 | PA      | $8030994.79     | 0.00%             | 2037-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2487 FN 06/42 FIXED VAR                        | CUSIP: 3138EJXR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       213238 | PA      | $208169.59      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD0265 FR 02/50 FIXED 3                  | CUSIP: 3132DMJJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28129547 | PA      | $25181690.16    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MF4             | CUSIP: 126673JF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2442097 | PA      | $2106386.85     | 0.00%             | 2034-08-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM43 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-174961.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.61000 03/24/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $758071.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA BANCO SANTANDER SA                      | CUSIP: 05964HAX3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     95200000 | PA      | $97546314.43    | 0.05%             | 2027-11-07      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 13 A5                     | CUSIP: 17025JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       707553 | PA      | $316742.47      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED REGS 05/60 3.8                | CUSIP: ACI1M29S4<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    105435000 | PA      | $70448626.25    | 0.03%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-259364.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-32T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 32T1 A3          | CUSIP: 12667GC84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3330040 | PA      | $1756886.92     | 0.00%             | 2035-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A7                     | CUSIP: 12544RAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15660 | PA      | $6391.28        | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4318 FN 01/49 FIXED 4                          | CUSIP: 3140JLYQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       672920 | PA      | $647643.45      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                          | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A1 144A         | CUSIP: 288547AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27002785 | PA      | $26644657.41    | 0.01%             | 2037-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-346.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260713                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $36515.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20300515                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $1237018.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH9324 G2 06/48 FIXED 4                       | CUSIP: 3617H7LD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       637037 | PA      | $603908.36      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ1565 FN 10/41 FIXED 4                          | CUSIP: 3138ASW32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       286463 | PA      | $278340.54      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES 2005-AR14                                 | WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 AR14 A1          | CUSIP: 94982DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        53344 | PA      | $52494.30       | 0.00%             | 2035-08-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-10                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 10 10A3           | CUSIP: 225470FM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       226507 | PA      | $49188.20       | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R2                                            | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 2A2 144A       | CUSIP: 05968KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2941904 | PA      | $2627135.53     | 0.00%             | 2037-05-26      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4837 G2 11/47 FIXED 3.5                     | CUSIP: 36179TLS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       158215 | PA      | $146953.54      | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1999-37                                                               | FANNIE MAE FNR 1999 37 F                                   | CUSIP: 31359V6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          207 | PA      | $206.82         | 0.00%             | 2029-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-42                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 42 1A4           | CUSIP: 02148YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5712806 | PA      | $3123424.23     | 0.00%             | 2047-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $410719.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLATERAL TRUST 2001-BC5                                 | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC5 M1             | CUSIP: 86358RHG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       204998 | PA      | $220786.45      | 0.00%             | 2031-08-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1480895.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8561 FN 06/31 FIXED VAR                        | CUSIP: 3138ETQP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53843 | PA      | $53350.48       | 0.00%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                       | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL             | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      6455853 | PA      | $4626716.23     | 0.00%             | 2027-12-31      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0264 FN 12/29 FIXED 4.5                        | CUSIP: 31417YJJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          435 | PA      | $437.66         | 0.00%             | 2029-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5899 FR 01/53 FIXED 6                  | CUSIP: 3133BTRU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2950798 | PA      | $3020292.40     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA3 2A1A          | CUSIP: 93364AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1523545 | PA      | $1398043.49     | 0.00%             | 2047-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-4                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 4 M5              | CUSIP: 86358ESP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25492000 | PA      | $23785907.11    | 0.01%             | 2035-05-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                                | CIM TRUST CIM 2024 R1 A1 144A                              | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22103847 | PA      | $21968890.09    | 0.01%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $503372.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE FUNDING LN ACQ TR 2004-OPT1                                                | CHASE FUNDING LOAN ACQUISITION CFLAT 2004 OPT1 M1          | CUSIP: 161542DZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5617254 | PA      | $5673621.32     | 0.00%             | 2034-06-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9419 FN 07/31 FIXED VAR                        | CUSIP: 3138ERPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10146 | PA      | $10058.76       | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VII DAC 7A                                                            | ARBOUR CLO ARBR 7A BR 144A                                 | CUSIP: ACI2S2B53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3200000 | PA      | $3764452.75     | 0.00%             | 2038-12-15      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL STATE OF ISRAEL                            | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    128700000 | PA      | $132425707.99   | 0.07%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 2A1         | CUSIP: 02147RAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2448908 | PA      | $700556.60      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A1                 | CUSIP: 59020UJP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       360417 | PA      | $317634.73      | 0.00%             | 2029-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847376 FH 12/34 FLOATING VAR             | CUSIP: 3128JRFR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1991 | PA      | $2035.97        | 0.00%             | 2034-12-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-7                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 7 A 144A          | CUSIP: 69545AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5424559 | PA      | $5471613.79     | 0.00%             | 2031-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90000 01/08/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2202550.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A8          | CUSIP: 32052FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       917104 | PA      | $222682.44      | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8406 FN 08/35 FIXED VAR                        | CUSIP: 3140XCKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1746350 | PA      | $1693320.43     | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                     | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/27 6.25        | CUSIP: ACI2L7PT2<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |       685733 | PA      | $105431.45      | 0.00%             | 2027-09-30      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                                    | ORANGE CAPITAL RE DAC 01/27 1                              | CUSIP: ACI2L70B8<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |     19700000 | PA      | $23347365.20    | 0.01%             | 2027-01-08      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                              | NATURE COAST RE LTD UNSECURED 144A 12/30 VAR               | CUSIP: 63901CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     22346000 | PA      | $23493467.10    | 0.01%             | 2030-12-07      | Floating      | 13.93%                | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-10                                                   | GSAA HOME EQUITY TRUST GSAA 2007 10 A2A                    | CUSIP: 3622NDAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12685338 | PA      | $4568581.44     | 0.00%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972164 FH 01/35 FLOATING VAR             | CUSIP: 31336CMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16679 | PA      | $17188.92       | 0.00%             | 2035-01-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                                    | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A       | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8548103 | PA      | $8571944.18     | 0.00%             | 2037-01-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-3                                                                | FANNIE MAE FNR 2007 3 SH                                   | CUSIP: 31396PRU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       264666 | PA      | $17908.23       | 0.00%             | 2037-02-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-14633.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-46                                                               | FANNIE MAE FNR 2001 46 F                                   | CUSIP: 313920ZH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           71 | PA      | $70.60          | 0.00%             | 2031-09-18      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 1B3 144A       | CUSIP: 12597GAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60998821 | PA      | $32423325.51    | 0.02%             | 2059-04-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGE TRUST 2006-2                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 2 3A1             | CUSIP: 576438AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1226628 | PA      | $1191336.16     | 0.00%             | 2036-01-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A35                | CUSIP: 46631NBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1114202 | PA      | $474073.44      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2003-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2003 5 1A2                  | CUSIP: 07386HDF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        52710 | PA      | $51650.70       | 0.00%             | 2033-12-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XVIII LTD / PREFERRED TERM SECURITIES XVIII INC        | PREFERRED TERM XVIII SECURED 144A 09/35 VAR                | CUSIP: 74042WAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     14571106 | PA      | $13696839.41    | 0.01%             | 2035-09-23      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-5                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 5 A1               | CUSIP: 02660KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143332813 | PA      | $35031987.13    | 0.02%             | 2046-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8197 FR 02/53 FIXED 5                  | CUSIP: 3133BWDA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       676840 | PA      | $675753.77      | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -23700000 | PA      | $-19107724.71   | -0.01%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1           | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3183 | PA      | $3128.67        | 0.00%             | 2032-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-18                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 18 1A              | CUSIP: 23243WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12524537 | PA      | $12318474.56    | 0.01%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-OPT1                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 OPT1 M2           | CUSIP: 144531FP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9047326 | PA      | $8491502.34     | 0.00%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA2                                                          | BCAP LLC TRUST BCAP 2007 AA2 2A11                          | CUSIP: 05530NAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4827757 | PA      | $2026966.71     | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB1                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB1 M2             | CUSIP: 126673XT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3912027 | PA      | $3871008.56     | 0.00%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-2                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2005 2 M4                   | CUSIP: 66987WCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10291000 | PA      | $10075964.41    | 0.00%             | 2035-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-9                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 9 21A2            | CUSIP: 17307GL22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       684688 | PA      | $694409.48      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | REPUBLIC OF TURKIYE SR UNSECURED 03/30 5.25                | CUSIP: 900123CY4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    258921000 | PA      | $253092545.88   | 0.12%             | 2030-03-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHESTER A CESTR 1 AA E 144A                                | CUSIP: ACI1BFGF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     35868000 | PA      | $48418485.99    | 0.02%             | 2046-03-17      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.59500 08/19/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $53290.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                          | BCAP LLC TRUST BCAP 2011 RR5 16A1 144A                     | CUSIP: 05534AAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2228216 | PA      | $2249135.50     | 0.00%             | 2035-10-26      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 B3 144A        | CUSIP: 12660QAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31043149 | PA      | $22220307.33    | 0.01%             | 2061-02-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9016 FN 04/47 FIXED 3.5                        | CUSIP: 3140FVAS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       326901 | PA      | $305609.83      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q62966 FG 04/49 FIXED 3.5                | CUSIP: 3132VPJL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       315993 | PA      | $292484.01      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2003 HYB2 1A1                  | CUSIP: 12669D2Y3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       302843 | PA      | $292711.58      | 0.00%             | 2033-07-19      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2014-7R                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 7R 4A3 144A         | CUSIP: 12648WAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34899896 | PA      | $8970002.68     | 0.00%             | 2036-10-27      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8654 FN 11/45 FIXED 4                          | CUSIP: 3140E1TL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1460235 | PA      | $1407434.57     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2024-RM5                                          | CASCADE FUNDING MORTGAGE TRUST CFMT 2024 RM5 A 144A        | CUSIP: 147275AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59315940 | PA      | $58310588.24    | 0.03%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A2             | CUSIP: 576433C53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       587917 | PA      | $518935.26      | 0.00%             | 2035-07-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2005-71                                                        | FANNIE MAE FNR 2005 71 SE                                  | CUSIP: 31394EWH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       522864 | PA      | $41930.50       | 0.00%             | 2035-08-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $56990.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HKD SOLD USD 20251017                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $-754.77        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-419361.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2007-AR13                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR13 4A1          | CUSIP: 456681AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16371804 | PA      | $10602769.61    | 0.01%             | 2037-07-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-1 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 17 1 AA PTT PASS THRU CE 02/29 3.65           | CUSIP: 023761AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      9556965 | PA      | $9299563.44     | 0.00%             | 2029-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-D                                                        | CENTEX HOME EQUITY CXHE 2004 D MV1                         | CUSIP: 152314LQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2542057 | PA      | $2527887.91     | 0.00%             | 2034-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                     | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          273 | PA      | $39.19          | 0.00%             | 2036-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ6549 FN 09/45 FIXED 4                          | CUSIP: 3138YYH30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51588 | PA      | $49626.52       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 A2 144A        | CUSIP: 12653HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    401030383 | PA      | $364146776.63   | 0.18%             | 2057-07-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-7                                               | HOME EQUITY ASSET TRUST HEAT 2005 7 M2                     | CUSIP: 437084PA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2957762 | PA      | $2845466.32     | 0.00%             | 2036-01-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PACIFIC PROPERTIE COMPANY GUAR 01/30 3.25           | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |       300000 | PA      | $257915.93      | 0.00%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.94000 02/22/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $5041383.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                            | MERCURY AGGREGATOR L P TRANCHE 2 TERM LOAN                 | CUSIP: BA000FDW9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      9075966 | PA      | $2669217.72     | 0.00%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR17                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR17 1A1          | CUSIP: 45660LUS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2902783 | PA      | $1926303.00     | 0.00%             | 2035-09-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 7CA1                | CUSIP: 466247QP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28779 | PA      | $23187.44       | 0.00%             | 2035-06-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-1                                                   | FREMONT HOME LOAN TRUST FHLT 2005 1 M5                     | CUSIP: 35729PJF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1866941 | PA      | $1848104.43     | 0.00%             | 2035-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ0546 FN 11/42 FIXED 3.5                        | CUSIP: 3138MFTC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4644 | PA      | $4394.17        | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA4                                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA4 2A1           | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       966943 | PA      | $816973.90      | 0.00%             | 2036-11-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR11                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR11 A1B2         | CUSIP: 92922F2J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1240905 | PA      | $1225919.40     | 0.00%             | 2045-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                                   | ARGENT SECURITIES INC. ARSI 2004 W11 M7                    | CUSIP: 040104MM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84718 | PA      | $96039.83       | 0.00%             | 2034-11-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.70000 03/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $281524.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB6                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB6 A2                   | CUSIP: 12669GBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       865581 | PA      | $834528.43      | 0.00%             | 2034-11-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2018-RP10                                                            | CSMCM TRUST CERTIFICATES CSMCM 2018 RP10 CERT 144A         | CUSIP: 12655EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20800538 | PA      | $17801260.66    | 0.01%             | 2057-09-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-ST3                                       | UPSTART PASS THROUGH TRUST UPSPT 2022 ST3 A 144A           | CUSIP: 91681EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1855378 | PA      | $1849174.87     | 0.00%             | 2030-05-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 4A1                   | CUSIP: 362341XC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1040805 | PA      | $483002.80      | 0.00%             | 2035-11-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5108 FN 12/47 FIXED 3.5                        | CUSIP: 3140H6VA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       160621 | PA      | $149876.77      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3702 FN 06/47 FIXED 4                          | CUSIP: 3140FPDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11983592 | PA      | $11527853.81    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-J2                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 J2 1A1                    | CUSIP: 12545EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62337 | PA      | $58670.00       | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6673 FR 01/53 FIXED 6                  | CUSIP: 3133BUMW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3865036 | PA      | $3977487.17     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81               | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    212402000 | PA      | $200228160.25   | 0.10%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A         | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       161610 | PA      | $142636.85      | 0.00%             | 2046-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5586 FR 06/53 FIXED 5.5                | CUSIP: 3133C6F38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2211752 | PA      | $2238869.68     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTAGE SEC INC 2004-R2                                                 | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R2 M6             | CUSIP: 03072SPN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       981150 | PA      | $945785.20      | 0.00%             | 2034-04-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 13A1          | CUSIP: 07387AFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4220 | PA      | $3733.02        | 0.00%             | 2036-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-2                                                   | FREMONT HOME LOAN TRUST FHLT 2005 2 M4                     | CUSIP: 35729PLP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1137000 | PA      | $1069852.19     | 0.00%             | 2035-06-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.62000 09/02/25-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-34336307.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF10                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A5            | CUSIP: 32027NWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15737193 | PA      | $14860463.22    | 0.01%             | 2035-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M2             | CUSIP: 68389FKS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54206000 | PA      | $43013539.70    | 0.02%             | 2036-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7512 FN 09/47 FIXED 4                          | CUSIP: 3140GWK28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       272125 | PA      | $261495.10      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.13796 07/28/23-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-7046696.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A          | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2697409 | PA      | $2599980.18     | 0.00%             | 2045-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.00000 12/20/23-3Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-505624.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.70000 07/21/23-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3404371.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9355 FN 01/27 FIXED 3                          | CUSIP: 3138E2MD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10916 | PA      | $10824.10       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-35CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 35CB 1A1         | CUSIP: 12667G2G7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19089332 | PA      | $13440214.55    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-2                                                   | CARMAX AUTO OWNER TRUST CARMX 2024 2 A3                    | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76300000 | PA      | $77421312.43    | 0.04%             | 2029-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA3                                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA3 3A1           | CUSIP: 749575AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6136 | PA      | $5292.98        | 0.00%             | 2036-09-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-248774.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC5                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC5 1A           | CUSIP: 02147HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8638285 | PA      | $7437782.77     | 0.00%             | 2036-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2000-37                                                               | FANNIE MAE FNR 2000 37 PD                                  | CUSIP: 31358SUP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          471 | PA      | $491.46         | 0.00%             | 2030-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-NC1                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 NC1 A1            | CUSIP: 86360PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6220048 | PA      | $6137846.66     | 0.00%             | 2036-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-4                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2005 4 5A               | CUSIP: 02660TGW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17871604 | PA      | $6676248.66     | 0.00%             | 2045-11-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA STRUCTURED SECURITIES TRUST 2024-S4                           | FINANCE OF AMERICA STRUCTURED FASST 2024 S4 A1 144A        | CUSIP: 31741AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143611611 | PA      | $139150718.74   | 0.07%             | 2074-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889299 FN 04/38 FIXED VAR                        | CUSIP: 31410G7L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          417 | PA      | $439.54         | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q42618 FG 08/46 FIXED 3                  | CUSIP: 3132WF4C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24350 | PA      | $22047.44       | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO5                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 1A1           | CUSIP: 75114HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10767094 | PA      | $9681522.22     | 0.00%             | 2046-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QO4                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO4 A1            | CUSIP: 74923LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4077923 | PA      | $3782592.08     | 0.00%             | 2047-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2023-B                                                | CPS AUTO TRUST CPS 2023 B B 144A                           | CUSIP: 12664WAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3801182 | PA      | $3803363.79     | 0.00%             | 2028-01-18      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-7                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 10A2              | CUSIP: 22942KCD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3271271 | PA      | $1418294.40     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3.5 JUMBOS                               | CUSIP: 21H0326A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7000000 | PA      | $6383499.85     | 0.00%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK6788 FN 03/27 FIXED 3.5                        | CUSIP: 3138EBRJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5341 | PA      | $5302.49        | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK COMMERCIAL MORTGAGE TRUST 2020-C9                                  | DEUTSCHE BANK COMMERCIAL MORTG DBJPM 2020 C9 XA            | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50113157 | PA      | $2278449.82     | 0.00%             | 2053-09-15      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-238516.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR 09/47 6.75                | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     71382000 | PA      | $58956599.50    | 0.03%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4062 FN 06/40 FIXED 3.5                        | CUSIP: 31418DQQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       518940 | PA      | $496897.27      | 0.00%             | 2040-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 13A1          | CUSIP: 161630CF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2468241 | PA      | $2303848.56     | 0.00%             | 2037-03-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1636 FN 11/47 FIXED 3.5                        | CUSIP: 3140H2ZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       905983 | PA      | $842869.65      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL5                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL5 B2 144A         | CUSIP: 52474TAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178636580 | PA      | $173440756.34   | 0.09%             | 2058-08-26      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2612 FN 08/45 FIXED 4                          | CUSIP: 3138YT3W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       106224 | PA      | $102272.52      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2012-5                                                    | SLM STUDENT LOAN TRUST SLMA 2012 5 A3                      | CUSIP: 78447EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18814133 | PA      | $18782263.50    | 0.01%             | 2075-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9543 FN 10/45 FIXED 4.5                        | CUSIP: 3140E2S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53331 | PA      | $52672.16       | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3938 FN 12/47 FIXED 3.5                        | CUSIP: 3140H5LU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       497087 | PA      | $463837.57      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65000 07/10/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $716766.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004657 G2 03/40 FIXED 4.5                     | CUSIP: 36202FE69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4316 | PA      | $4344.11        | 0.00%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BD3842 G2 07/48 FIXED 4                       | CUSIP: 3617BKHT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       334293 | PA      | $316702.01      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG8934 G2 07/48 FIXED 4                       | CUSIP: 3617GT4T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       929471 | PA      | $880561.81      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR1 A2A                 | CUSIP: 23332UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1849554 | PA      | $1674801.96     | 0.00%             | 2044-09-19      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                   | WINSTON RE LTD UNSECURED 144A 02/28 VAR                    | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |      1800000 | PA      | $1869840.00     | 0.00%             | 2028-02-21      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.072 03/27/24-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-9607738.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.9* 9/11/23-27Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $708733117.41   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-S2                                                | STRUCTURED ASSET SECURITIES CO SASC 2005 NC2 M7            | CUSIP: 86359DCT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4070013 | PA      | $3717893.77     | 0.00%             | 2035-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.41500 07/31/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1377375.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/2.7500 12/17/12-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $826275.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1525374.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2007-1                                                   | CSAB MORTGAGE BACKED TRUST CSAB 2007 1 1A2                 | CUSIP: 12629EAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13478514 | PA      | $2895138.99     | 0.00%             | 2037-05-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM6138 FR 04/48 FIXED 4.5                | CUSIP: 3131Y0ZB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       481458 | PA      | $475744.72      | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7042 FN 06/44 FIXED 4.5                        | CUSIP: 3138XWZG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1168 | PA      | $1168.74        | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2015-3R                                             | GS MORTGAGE SECURITIES CORP. GSMSC 2015 3R 2B 144A         | CUSIP: 36250FAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20156955 | PA      | $19013779.12    | 0.01%             | 2036-10-26      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-4                                                              | IMPAC CMB TRUST IMM 2004 4 1A1                             | CUSIP: 45254NHS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4261 | PA      | $4257.75        | 0.00%             | 2034-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A3                                   | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A3 2A2            | CUSIP: 76113WAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9672105 | PA      | $1281753.20     | 0.00%             | 2037-04-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254621 FN 01/33 FIXED 6.5                        | CUSIP: 31371KYS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          551 | PA      | $570.15         | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0481 G2 07/55 FIXED 3.5                     | CUSIP: 3618N5RB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48588292 | PA      | $44332700.34    | 0.02%             | 2055-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $542658.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9722 G2 06/54 FIXED 4                       | CUSIP: 36179YYT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33545617 | PA      | $31621242.38    | 0.02%             | 2054-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST2006-AR2                                      | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR2 1A1            | CUSIP: 07401AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13368621 | PA      | $11764282.51    | 0.01%             | 2046-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY9780 FN 06/45 FIXED 3.5                        | CUSIP: 3138YP2N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9177 | PA      | $8613.36        | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A              | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     13146000 | PA      | $17625240.27    | 0.01%             | 2049-12-21      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1015 FN 10/46 FIXED 3.5                        | CUSIP: 3140FLDV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       133028 | PA      | $125410.93      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $38700.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50514 FG 08/47 FIXED 3.5                | CUSIP: 3132XSSC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46250 | PA      | $43655.38       | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0096 FN 06/29 FIXED 4.5                        | CUSIP: 31417YDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39773 | PA      | $39879.91       | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                             | COLLEGE AVE STUDENT LOANS CASL 2023 B A1A 144A             | CUSIP: 19425MAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53774809 | PA      | $56215561.21    | 0.03%             | 2054-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEXICAN UDIBONOS BONDS 08/34 4                             | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    714117589 | PA      | $37352403.32    | 0.02%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | FORD MOTOR COMPANY SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $462270.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB7                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB7 1A1                  | CUSIP: 12669GBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       888146 | PA      | $851198.65      | 0.00%             | 2034-11-20      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $42328.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF3 M1             | CUSIP: 362334AW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22223336 | PA      | $21000145.47    | 0.01%             | 2036-02-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC9068 FN 12/46 FIXED 3.5                        | CUSIP: 3140F5CE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50343 | PA      | $47069.74       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20251215                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $205148.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4806 FN 11/52 FIXED 5                          | CUSIP: 31418EKU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        99346 | PA      | $99238.30       | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.75000 03/18/26-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $383498.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY6050 FN 05/45 FIXED 3.5                        | CUSIP: 3138YKWL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1399802 | PA      | $1317326.44     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL20 LLC                        | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL20 A 144A        | CUSIP: 59319CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    194700000 | PA      | $195089012.55   | 0.10%             | 2043-02-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB7                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 6A1                  | CUSIP: 126694MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       382138 | PA      | $357199.98      | 0.00%             | 2035-11-20      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-4 LLC                                                                  | PRP ADVISORS, LLC PRPM 2025 4 A1 144A                      | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28925569 | PA      | $29015243.59    | 0.01%             | 2030-06-25      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-5                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 5 A6                      | CUSIP: 12544VAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2545814 | PA      | $889170.22      | 0.00%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2270 FN 11/46 FIXED 3.5                        | CUSIP: 3140FMQY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       106705 | PA      | $99495.54       | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA10                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA10 4A1         | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9201757 | PA      | $7987407.97     | 0.00%             | 2046-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R8                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R8 M2             | CUSIP: 03072SUA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       338992 | PA      | $344635.69      | 0.00%             | 2034-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 918697 FN 06/37 FIXED 6                          | CUSIP: 31411YUW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60023 | PA      | $63285.92       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7037 FN 04/46 FIXED 4.5                        | CUSIP: 3138WGZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        92103 | PA      | $91465.94       | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A3 144A       | CUSIP: 14686TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29823877 | PA      | $29943002.30    | 0.01%             | 2028-04-10      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-249552.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 3 A1                   | CUSIP: 07386HGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37051 | PA      | $36770.74       | 0.00%             | 2034-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72500 02/07/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $353264.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A3A            | CUSIP: 17312VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1067873 | PA      | $946471.86      | 0.00%             | 2046-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 788662 FH 09/31 FLOATING VAR             | CUSIP: 31295MTT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35968 | PA      | $36510.94       | 0.00%             | 2031-09-01      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH3 M2           | CUSIP: 17309QAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       588958 | PA      | $589095.20      | 0.00%             | 2036-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-11813.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AREIT TRUST 2023-CRE8                                                            | AREIT CRE TRUST AREIT 2023 CRE8 A 144A                     | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     34271460 | PA      | $34309890.65    | 0.02%             | 2041-08-17      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 12/22/25 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-462890.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003470 G2 11/33 FIXED 4.5                     | CUSIP: 36202D2B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3063 | PA      | $3054.27        | 0.00%             | 2033-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8080 FN 03/48 FIXED 3.5                        | CUSIP: 3140H96S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       177225 | PA      | $166370.16      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP SAL                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $37.19          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB2 1A4                  | CUSIP: 12669GZP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       438400 | PA      | $428602.45      | 0.00%             | 2035-05-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 P2 A4            | CUSIP: 14687TAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2274579 | PA      | $2269244.46     | 0.00%             | 2027-01-10      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $72673.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0462 FN 09/47 FIXED 3.5                        | CUSIP: 3140Q7QQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49312 | PA      | $46013.13       | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-5                                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 5 1A4             | CUSIP: 05950NAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1359674 | PA      | $1164719.22     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2024-1 LTD                                                               | TCW LTD TCW 2024 1A A1 144A                                | CUSIP: 87252MAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     43800000 | PA      | $44005929.20    | 0.02%             | 2037-01-16      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8381 FN 08/47 FIXED 4                          | CUSIP: 3140GXJ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56468 | PA      | $54326.17       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ7887 FN 03/49 FIXED 4.5                        | CUSIP: 3140H9XR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1362208 | PA      | $1343236.05     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2014 1 A PTT PASS THRU CE 10/27 4               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2322046 | PA      | $2317752.30     | 0.00%             | 2027-10-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.70 12/18/20-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $60986797.37    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A1 144A        | CUSIP: 21050UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18849613 | PA      | $18891181.74    | 0.01%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251016                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-214831.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 955282 FN 01/38 FIXED 6                          | CUSIP: 31413TXK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81662 | PA      | $86102.99       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2006-6                                                   | HOME EQUITY ASSET TRUST HEAT 2006 6 2A3                    | CUSIP: 437097AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       288574 | PA      | $283717.44      | 0.00%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08702 FG 04/46 FIXED 3.5                | CUSIP: 3128MJX88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       301897 | PA      | $283032.08      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ7272 FN 01/48 FIXED 3.5                        | CUSIP: 3140H9CJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       345823 | PA      | $323189.85      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5789203013 | PA      | $5455527592.77  | 2.69%             | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR ULTRA FUT DEC25 XCBT 20251219                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        13372 | NC      | $14602070.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $425405.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80000 03/10/23-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1350434.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9543 FN 05/37 FIXED 3.5                        | CUSIP: 3138WKS97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81215 | PA      | $78499.56       | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CLP BOUGHT USD 20260318                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |            1 | NC      | $-144.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PEOPLE'S FINANCE REALTY MTGE SEC 2006-1                                          | PEOPLE S FINANCIAL REALTY MORT PFRMS 2006 1 2A2            | CUSIP: 71103XAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24745194 | PA      | $5967798.48     | 0.00%             | 2036-09-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A3A          | CUSIP: 17311WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       440209 | PA      | $408743.62      | 0.00%             | 2037-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.2914 05/08/25-01/02/29 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-675899.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-9                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 9 4A3            | CUSIP: 41161PJG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21706 | PA      | $18611.73       | 0.00%             | 2034-12-19      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5252 FR 01/53 FIXED 6                  | CUSIP: 3133BSZR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68569 | PA      | $70451.17       | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08715 FG 08/46 FIXED 3                  | CUSIP: 3128MJYM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33073 | PA      | $29952.02       | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A C 144A          | CUSIP: 21050QAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12127000 | PA      | $12333556.77    | 0.01%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG6272 G2 07/48 FIXED 4                       | CUSIP: 3617GQ6H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       802274 | PA      | $760053.34      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MMCAPS FUNDING LTD 17A                                                           | MMCAPS FUNDING LTD MMCAP 17A A2 144A                       | CUSIP: 55312HAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8469838 | PA      | $8173393.93     | 0.00%             | 2035-12-01      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| NRPL-2024-RPL1                                                                   | NRPL TRUST SERIES NRPL 2024 RPL1 SA 144A                   | CUSIP: 62956EAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       374033 | PA      | $354859.88      | 0.00%             | 2063-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-2778605.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW9808 FN 09/52 FIXED 6                          | CUSIP: 3140N23S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       183388 | PA      | $188669.88      | 0.00%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A RC                              | CUSIP: ACI2M18T3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |        81000 | PA      | $0.16           | 0.00%             | 2035-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875          | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  10265100000 | PA      | $583957585.12   | 0.29%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.6* 07/29/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $16979828.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MDPK-2016-24A                                                                    | MADISON PARK FUNDING LTD MDPK 2016 24A AR2 144A            | CUSIP: 55820NAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2151867 | PA      | $2152933.26     | 0.00%             | 2029-10-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-45                                                               | FANNIE MAE FNR 2002 45 ZA                                  | CUSIP: 31392DTH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74667 | PA      | $76792.79       | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                                  | HOUT BAY HOUT 2006 1A A1 144A                              | CUSIP: 442451AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    463545485 | PA      | $75468913.27    | 0.04%             | 2041-07-05      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| NRPL-2023-RPL1                                                                   | NRPL TRUST SERIES NRPL 2023 RPL1 SA 144A                   | CUSIP: 62955FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       357575 | PA      | $352300.77      | 0.00%             | 2062-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2333 FN 06/45 FIXED 3.5                        | CUSIP: 3138YFSX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1384659 | PA      | $1302490.21     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-D                                                        | CENTEX HOME EQUITY CXHE 2004 D MF3                         | CUSIP: 152314LP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       767584 | PA      | $760494.65      | 0.00%             | 2034-09-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA E 144A                       | CUSIP: ACI2N0NH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     25027000 | PA      | $33455843.18    | 0.02%             | 2054-05-28      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                                  | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 08/37 7.288     | CUSIP: 368266AH5<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     30730000 | PA      | $23016770.00    | 0.01%             | 2037-08-16      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX2530 FR 01/55 FIXED 7                  | CUSIP: 31425WY47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1560192 | PA      | $1636478.43     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 2A1          | CUSIP: 93363NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       111307 | PA      | $101259.80      | 0.00%             | 2036-10-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8960 FN 10/40 FIXED 3.5                        | CUSIP: 3140FG5W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       182849 | PA      | $173704.32      | 0.00%             | 2040-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0486 FN 10/47 FIXED 3.5                        | CUSIP: 3140Q7RG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       436464 | PA      | $406096.97      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3284                                                                 | FREDDIE MAC FHR 3284 NI                                    | CUSIP: 31397FM74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2305837 | PA      | $234861.21      | 0.00%             | 2037-03-15      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7810 FN 08/46 FIXED 4                          | CUSIP: 3138WHVC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       917382 | PA      | $882500.60      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENT AUTO RECEIVABLES TRUST 2023-1A                                               | ENT AUTO RECEIVABLES TRUST ENT 2023 1A A3 144A             | CUSIP: 293601AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10938889 | PA      | $11026274.46    | 0.01%             | 2029-01-16      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A1             | CUSIP: 61752UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5682166 | PA      | $2952661.76     | 0.00%             | 2037-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2015-2R                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 2R 3A2 144A         | CUSIP: 12649QAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7521319 | PA      | $6655988.33     | 0.00%             | 2036-04-27      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1822 FN 03/44 FIXED 4                          | CUSIP: 31418BAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3632 | PA      | $3523.18        | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-680121.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 02/43 5.5            | CUSIP: 983YNTII1<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     52700000 | PA      | $49809493.42    | 0.02%             | 2043-02-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 13 1A19                   | CUSIP: 12543TAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       280061 | PA      | $122141.83      | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0265 FN 09/47 FIXED 4                          | CUSIP: 3140Q7JK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68617 | PA      | $66028.68       | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1          | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       179624 | PA      | $47911.92       | 0.00%             | 2037-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 26A1                 | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4881777 | PA      | $2624639.34     | 0.00%             | 2035-11-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 WF2 M5            | CUSIP: 86359DDF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       114816 | PA      | $114668.48      | 0.00%             | 2035-05-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B C                | CUSIP: 78450CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4314550 | PA      | $4532411.04     | 0.00%             | 2052-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9725 FR 03/53 FIXED 4                  | CUSIP: 3133KRYW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2157727 | PA      | $2050467.14     | 0.00%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ8107 FN 12/41 FIXED 4                          | CUSIP: 3138E1AH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2373974 | PA      | $2310192.59     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 B2 144A       | CUSIP: 17329YAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23096400 | PA      | $16943907.06    | 0.01%             | 2061-05-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.84200 03/04/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4848808.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING LTD. 2020-11A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 11A A 144A        | CUSIP: 03330KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    104673961 | PA      | $102033122.99   | 0.05%             | 2038-04-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 3 1A1                     | CUSIP: 126694YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4597431 | PA      | $4318418.53     | 0.00%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/26 2.7            | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     39225000 | PA      | $38602081.90    | 0.02%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75             | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     16502000 | PA      | $14154880.61    | 0.01%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6148 FN 07/46 FIXED 4                          | CUSIP: 3140F1ZN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22915 | PA      | $21985.66       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                                  | ROLLS ROYCE PLC COMPANY GUAR REGS 10/27 5.75               | CUSIP: ACI1S61G3<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     29673000 | PA      | $40840871.63    | 0.02%             | 2027-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2025-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2025 1A A2 144A       | CUSIP: 81885BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41738436 | PA      | $41807925.83    | 0.02%             | 2028-05-22      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3047 FN 12/45 FIXED 4                          | CUSIP: 3140E7L57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9215 | PA      | $8887.16        | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251023                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $226975.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-10                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 10 A2                     | CUSIP: 12669GYM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1559982 | PA      | $1296156.72     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 751501 FN 12/33 FLOATING VAR                     | CUSIP: 31403K3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4993 | PA      | $5118.42        | 0.00%             | 2033-12-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TR 2007-1                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 1 2A1             | CUSIP: 576431AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35961 | PA      | $18335.00       | 0.00%             | 2036-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST I 2025-3A                               | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2025 3A A1 144A         | CUSIP: 76090QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35587013 | PA      | $35622984.20    | 0.02%             | 2026-07-27      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 A 144A         | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14978407 | PA      | $15064573.76    | 0.01%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-8                                               | HOME EQUITY ASSET TRUST HEAT 2005 8 M3                     | CUSIP: 437084QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14695953 | PA      | $16214685.95    | 0.01%             | 2036-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.83000 10/12/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-823977.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO 2020-6 LTD                                                       | 522 FUNDING CLO LTD MORGN 2020 6A A1R2 144A                | CUSIP: 33835AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     25550000 | PA      | $25595897.25    | 0.01%             | 2034-10-23      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q61120 FG 01/49 FIXED 3.5                | CUSIP: 3132VMG66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2286763 | PA      | $2120902.44     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                                 | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR               | CUSIP: 45833UAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      7600000 | PA      | $8478560.00     | 0.00%             | 2026-06-08      | Floating      | 26.76%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-34                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 34 A2            | CUSIP: 02148AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1988722 | PA      | $876754.33      | 0.00%             | 2046-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-CES4                                        | J P MORGAN MTG TR 2025 CES4 01/56 0                        | CUSIP: 46659UAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332307830 | PA      | $358102653.53   | 0.18%             | 2056-01-25      | Fixed         | 8.51%                 | No            |                  3 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR35                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR35 1A1A         | CUSIP: 45667SAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3119201 | PA      | $2767935.64     | 0.00%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.40000 08/07/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $3662978.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                          | COUNTRY GARDEN HLDGS SR SECURED REGS 10/25 3.125           | CUSIP: ACI1S6K23<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     26950000 | PA      | $2896887.84     | 0.00%             | 2025-10-22      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 21                                                                   | KKR FINANCIAL CLO LTD KKR 21 A 144A                        | CUSIP: 48252KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1729543 | PA      | $1731282.22     | 0.00%             | 2031-04-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2014-8R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 8R 2A2 144A         | CUSIP: 12648VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       898434 | PA      | $872679.92      | 0.00%             | 2037-07-27      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8006 FR 09/34 FIXED 3                  | CUSIP: 3132D53P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3839 | PA      | $3722.21        | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2009-4R                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 4R 1A15 144A        | CUSIP: 12641NBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4331209 | PA      | $3156192.73     | 0.00%             | 2036-04-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/32 3.25            | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4800000 | PA      | $4322361.12     | 0.00%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 3 A3             | CUSIP: 80287LAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70725280 | PA      | $71096127.63    | 0.04%             | 2029-01-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-16314.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.16509 04/01/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-14251663.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVIII LTD 2020-3A                                               | SOUND POINT CLO LTD SNDPT 2020 3A A1R 144A                 | CUSIP: 83615CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     46553081 | PA      | $46637790.10    | 0.02%             | 2032-01-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SEC 2007-2                                         | MERRILL LYNCH MORTGAGE BACKED MLMBS 2007 2 1A1             | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2645944 | PA      | $2276529.35     | 0.00%             | 2036-08-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $223866.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0443 FN 10/39 FIXED VAR                        | CUSIP: 31419AP50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6314 | PA      | $6690.62        | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF10                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF10 A1            | CUSIP: 32028HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       195590 | PA      | $187001.72      | 0.00%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-HE3                                     | MASTR ASSET BACKED SECURITIES MABS 2006 HE3 A4             | CUSIP: 57645JAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21591022 | PA      | $6204847.43     | 0.00%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A16          | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17746874 | PA      | $6236233.84     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-680121.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535300 FN 05/30 FIXED VAR                        | CUSIP: 31384VUZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1207 | PA      | $1251.96        | 0.00%             | 2030-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/40 9              | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    798200000 | PA      | $42324474.12    | 0.02%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3                               | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 3 2A2             | CUSIP: 316599AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1535025 | PA      | $998338.58      | 0.00%             | 2036-11-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                     | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    238252380 | PA      | $217443312.28   | 0.11%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2023 RPL1 PT 144A      | CUSIP: 36266QAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324971856 | PA      | $286189910.08   | 0.14%             | 2062-02-27      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1098.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                     | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR C 144A          | CUSIP: 12564NAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15102000 | PA      | $14599807.15    | 0.01%             | 2038-11-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1          | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4832552 | PA      | $4404675.17     | 0.00%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RCF2 A1 144A                   | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6866958 | PA      | $6731705.17     | 0.00%             | 2054-03-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A R 144A          | CUSIP: 21050QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25509911 | PA      | $12572225.02    | 0.01%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 1A2            | CUSIP: 43710EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21897952 | PA      | $8649691.08     | 0.00%             | 2037-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE4350 FN 10/40 FIXED 4                          | CUSIP: 31419EZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1556438 | PA      | $1520402.96     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08789 FG 11/47 FIXED 4                  | CUSIP: 3128MJ2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17194317 | PA      | $16601308.46    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6402 FR 03/39 FIXED 3.5                | CUSIP: 31329QDF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1330885 | PA      | $1281283.80     | 0.00%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH9                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH9 A1            | CUSIP: 749241AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6301003 | PA      | $5267076.54     | 0.00%             | 2037-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-7                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 7 2A1            | CUSIP: 41161PGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       183837 | PA      | $178043.53      | 0.00%             | 2034-11-19      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2004-13                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 13 MF3             | CUSIP: 126673RA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3538309 | PA      | $3474893.53     | 0.00%             | 2035-02-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                         | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 2A4          | CUSIP: 94985GBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       304136 | PA      | $276251.85      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-2A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 2A A4 144A           | CUSIP: 505920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5700000 | PA      | $5802268.26     | 0.00%             | 2029-07-16      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                                     | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A                | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     51529246 | PA      | $51620976.07    | 0.03%             | 2030-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH4836 FR 11/53 FIXED 6.5                | CUSIP: 3133CHLR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110759 | PA      | $115569.62      | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2024-2A                                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2024 2A A2A 144A      | CUSIP: 73328NAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10910432 | PA      | $10915116.85    | 0.01%             | 2026-12-21      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                | VENTURE GLOBAL CALCASIEU SR SECURED 144A 08/29 3.875       | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     31870000 | PA      | $30569083.49    | 0.02%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-4R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 4R 5A1 144A         | CUSIP: 12646DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87298183 | PA      | $33345845.73    | 0.02%             | 2047-02-27      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB3514 FR 09/50 FIXED 2.5                | CUSIP: 3133A93X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7559195 | PA      | $6458439.64     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                               | THAMES WATER UTIL FIN SR SECURED REGS 02/30 3.5            | CUSIP: ACI0KSYW4<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |      9100000 | PA      | $8592138.74     | 0.00%             | 2030-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $623472.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1          | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30986 | PA      | $20764.48       | 0.00%             | 2035-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251022                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $2237710.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5183 FN 03/47 FIXED 4                          | CUSIP: 3140FQXM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46212 | PA      | $44321.36       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-13                                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 13 6A1             | CUSIP: 61756HBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6349355 | PA      | $3267635.72     | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2006-OPT4                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT4 2A4          | CUSIP: 83611YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3863025 | PA      | $3755836.89     | 0.00%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7801 FN 08/46 FIXED 3.5                        | CUSIP: 3138WHU34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4399 | PA      | $4113.82        | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928413 FN 06/37 FIXED 6.5                        | CUSIP: 31412LN63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1632 | PA      | $1707.81        | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5467 G2 09/48 FIXED 4.5                     | CUSIP: 36179UCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       844608 | PA      | $835474.84      | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 2A1             | CUSIP: 00703QAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3204514 | PA      | $293460.14      | 0.00%             | 2036-08-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2777 FN 11/47 FIXED 3.5                        | CUSIP: 3140FNCP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       243603 | PA      | $226375.96      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP MEI                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $5.82           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC6                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC6 2A3          | CUSIP: 23243DAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1467679 | PA      | $1339238.17     | 0.00%             | 2036-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5668 FN 08/45 FIXED 4                          | CUSIP: 3138WFJN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       544950 | PA      | $524454.43      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 28CB 1A6         | CUSIP: 12667GWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2586549 | PA      | $2217854.87     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 4 A2             | CUSIP: 802919AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3353275 | PA      | $3354793.49     | 0.00%             | 2027-07-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1                | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3062 | PA      | $2968.22        | 0.00%             | 2044-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | LETRA TESOURO NACIONAL BILLS 04/26 0.00000                 | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  14465673000 | PA      | $2539036994.81  | 1.25%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RZD CAPITAL PUBLIC LIMITED COMPANY                                               | RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487        | CUSIP: B3SXQ5II3<br>LEI: 635400VKMH1VQDFMW392 | Long             | DBT              | CORP              | IE        |     60389000 | PA      | $56851993.81    | 0.03%             | 2031-03-25      | Fixed         | 7.49%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TR 2003-A10                                                | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A10 A4            | CUSIP: 45660NUG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       269486 | PA      | $269192.73      | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90000 04/10/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2299420.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2004-OPT1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 OPT1 M5           | CUSIP: 17307GJM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       499111 | PA      | $430967.27      | 0.00%             | 2034-10-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4103 FN 12/41 FIXED 3.5                        | CUSIP: 31417ARZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10093 | PA      | $9600.68        | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A10          | CUSIP: 761118PZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2756868 | PA      | $2397905.16     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                          | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1            | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5092575 | PA      | $4704450.05     | 0.00%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6927 FR 06/53 FIXED 5                  | CUSIP: 3133C7VU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       344979 | PA      | $343696.64      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 1A1            | CUSIP: 05949AH52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       272216 | PA      | $235654.91      | 0.00%             | 2035-02-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A2            | CUSIP: 06050HKQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7089 | PA      | $6918.09        | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $447622.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-F                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 F 6A1             | CUSIP: 05946XZD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5409 | PA      | $4847.87        | 0.00%             | 2035-09-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE4                                           | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE4 M6           | CUSIP: 04541GRQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4690516 | PA      | $4640365.65     | 0.00%             | 2035-05-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08675 FG 11/45 FIXED 3                  | CUSIP: 3128MJXD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19137 | PA      | $17374.83       | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256885 FN 09/27 FIXED 6                          | CUSIP: 31371NJ63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28569 | PA      | $29182.52       | 0.00%             | 2027-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-2                                                   | CARMAX AUTO OWNER TRUST CARMX 2024 2 A2A                   | CUSIP: 14319EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25435399 | PA      | $25481259.01    | 0.01%             | 2027-05-17      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR7                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR7 6M1           | CUSIP: 22541SRY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2573381 | PA      | $2302501.84     | 0.00%             | 2034-11-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3            | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6230735 | PA      | $3372501.64     | 0.00%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-HE4                                                     | ACE SECURITIES CORP. ACE 2004 HE4 M1                       | CUSIP: 004421JH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       916198 | PA      | $835222.27      | 0.00%             | 2034-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2005 HE5 M3                | CUSIP: 61744CUU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       281265 | PA      | $270384.44      | 0.00%             | 2035-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004341 G2 01/39 FIXED 4.5                     | CUSIP: 36202EZE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2004 | PA      | $2017.14        | 0.00%             | 2039-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3892 FN 11/44 FIXED 4                          | CUSIP: 3138WDKE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23676 | PA      | $22819.44       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-OPT4                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT4 M1           | CUSIP: 04542BHD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1587294 | PA      | $1598311.59     | 0.00%             | 2034-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-AR2                                               | HSI ASSET LOAN OBLIGATION HALO 2007 AR2 2A1                | CUSIP: 44329EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9995061 | PA      | $8321963.16     | 0.00%             | 2037-09-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/27 3.3              | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    164659000 | PA      | $161188628.80   | 0.08%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5              | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     51959000 | PA      | $46312213.31    | 0.02%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.43500 11/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4394693.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3779 FN 05/46 FIXED VAR                        | CUSIP: 3140J8FV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14789 | PA      | $13892.87       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A5          | CUSIP: 32052FAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1162486 | PA      | $293903.55      | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INV LN TR 2003-BC10                                             | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC10 M2           | CUSIP: 86359A2J1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        98847 | PA      | $115422.90      | 0.00%             | 2033-10-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2008-IND1                                                         | BCAP LLC TRUST BCAP 2008 IND1 A1                           | CUSIP: 05531CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3883657 | PA      | $2910474.52     | 0.00%             | 2047-10-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.22 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-3584764.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889453 FN 04/28 FIXED VAR                        | CUSIP: 31410KE26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10916 | PA      | $10908.42       | 0.00%             | 2028-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-SB1                                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 SB1 A1A          | CUSIP: 41162BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4692469 | PA      | $4334278.56     | 0.00%             | 2036-12-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $7268.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A4 2A1                 | CUSIP: 466247RP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3750 | PA      | $3709.34        | 0.00%             | 2035-07-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZL2227 FR 10/41 FIXED 4                  | CUSIP: 3131XHPL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121304 | PA      | $118170.32      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MORTGAGE SEC 2002-L                                              | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 L 1A2            | CUSIP: 05948JAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       130823 | PA      | $111539.46      | 0.00%             | 2032-12-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 B2 144A         | CUSIP: 52474AAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132995966 | PA      | $125378249.66   | 0.06%             | 2058-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-858780.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2024-3A                                            | ROMARK CREDIT FUNDING LTD RCF 2024 3A A 144A               | CUSIP: 77587BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     27400000 | PA      | $27496776.80    | 0.01%             | 2042-09-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-OP2                                                | SECURITIZED ASSET BACKED RECEI SABR 2005 OP2 M3            | CUSIP: 81375WGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       963000 | PA      | $845154.22      | 0.00%             | 2035-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 610645 FN 10/31 FIXED 6.5                        | CUSIP: 31388PL25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          424 | PA      | $440.07         | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1          | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3747694 | PA      | $2501998.68     | 0.00%             | 2037-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08635 FG 04/45 FIXED 3                  | CUSIP: 3128MJV56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47935 | PA      | $43728.59       | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                                  | KKR FINANCIAL CLO LTD KKR 36A AR 144A                      | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    113700000 | PA      | $113702167.12   | 0.06%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B R 144A           | CUSIP: 78449HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        12903 | PA      | $6065573.74     | 0.00%             | 2056-10-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2013-13                                                        | FANNIE MAE FNR 2013 13 PH                                  | CUSIP: 3136ACH53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7927933 | PA      | $7661310.66     | 0.00%             | 2042-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08732 FG 11/46 FIXED 3                  | CUSIP: 3128MJY61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2873047 | PA      | $2601355.38     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A3          | CUSIP: 92922F4C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       648869 | PA      | $616746.96      | 0.00%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| COLT 2022-4 MORTGAGE LOAN TRUST                                                  | COLT FUNDING LLC COLT 2022 4 A1 144A                       | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12059089 | PA      | $12025581.60    | 0.01%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA10                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA10 3A1         | CUSIP: 02146QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       376701 | PA      | $336066.44      | 0.00%             | 2046-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES COMPANY GUAR 12/26 4.75                     | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      2445000 | PA      | $2451556.90     | 0.00%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4379 FN 05/47 FIXED 4                          | CUSIP: 3140GS2M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22717 | PA      | $21849.06       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-CES3                                        | JP MORGAN MORTGAGE TRUST JPMMT 2025 CES3 PT 144A           | CUSIP: 46659XAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121992497 | PA      | $132694922.80   | 0.07%             | 2055-10-25      | Fixed         | 9.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251202                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-2393207.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR4849 FN 01/51 FIXED 4                          | CUSIP: 3140L3L74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       394505 | PA      | $374383.52      | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55629 FG 04/48 FIXED 4                  | CUSIP: 3132XYHF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2871970 | PA      | $2760536.79     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC COMPANY                                                         | GENERAL ELECTRIC CO SR UNSECURED 03/32 6.75                | CUSIP: 36962GXZ2<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |          355 | PA      | $404.07         | 0.00%             | 2032-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6108 FN 01/47 FIXED 4                          | CUSIP: 3140FRYE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15626 | PA      | $15027.19       | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 4A1                  | CUSIP: 125438AQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2125447 | PA      | $2097842.84     | 0.00%             | 2047-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003581 G2 07/34 FIXED 4.5                     | CUSIP: 36202D6S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1049 | PA      | $1049.77        | 0.00%             | 2034-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2058 FN 07/48 FIXED 4.5                        | CUSIP: 3140Q9JC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52489 | PA      | $51653.17       | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013 RR2                                                          | BCAP LLC TRUST BCAP 2013 RR2 2A2 144A                      | CUSIP: 05542GAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4849484 | PA      | $1447064.22     | 0.00%             | 2036-11-26      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MTGE INVESTMENT CORP 2005-3                                           | FIELDSTONE MORTGAGE INVESTMENT FMIC 2005 3 M1              | CUSIP: 31659TEJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6051463 | PA      | $5338183.89     | 0.00%             | 2036-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22902.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 10 A22                    | CUSIP: 12545CAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1995262 | PA      | $865990.61      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ATLAS FUNDING 2023-1 PLC 23-1                                                    | ATLAS FUNDING AFUND 2023 1 A REGS                          | CUSIP: ACI2FGGP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      4850738 | PA      | $6558653.27     | 0.00%             | 2061-01-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2007-2                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2007 2 A3              | CUSIP: 9497EYAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5327462 | PA      | $5266126.92     | 0.00%             | 2037-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1                 | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4171 | PA      | $4074.73        | 0.00%             | 2035-02-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1535 FN 02/48 FIXED 3.5                        | CUSIP: 3140Q8V51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2800438 | PA      | $2605601.64     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-9                                                   | GSR MORTGAGE LOAN TRUST GSR 2004 9 2A1                     | CUSIP: 36242DBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20361 | PA      | $19119.61       | 0.00%             | 2034-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA1988 FR 04/27 FIXED 5.5                | CUSIP: 31329KF58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17226 | PA      | $17376.37       | 0.00%             | 2027-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 1A             | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36330351 | PA      | $28355482.64    | 0.01%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-8                                                    | GSAA HOME EQUITY TRUST GSAA 2005 8 M1                      | CUSIP: 362341CU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2071351 | PA      | $2051925.74     | 0.00%             | 2035-06-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-7                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 7 1A9             | CUSIP: 05951KAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        90711 | PA      | $79129.19       | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $19485.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4                                | SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2            | CUSIP: 81375WFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       440292 | PA      | $425324.71      | 0.00%             | 2036-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-12010954.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.74901 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-796820.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4                  | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7646670 | PA      | $7362412.35     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4963 FN 08/47 FIXED 3.5                        | CUSIP: 3140GTQR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1920484 | PA      | $1790728.05     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                                     | CIFI HOLDINGS GROUP COMPANY GUAR REGS 04/27 4.375          | CUSIP: ACI1TXLK2<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |      3700000 | PA      | $346875.00      | 0.00%             | 2027-04-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC1                                           | MASTR ASSET BACKED SECURITIES MABS 2006 WMC1 A4            | CUSIP: 57643LRL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8913390 | PA      | $3250150.00     | 0.00%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB5                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB5 A2           | CUSIP: 12464YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1976676 | PA      | $1179208.94     | 0.00%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43734 FG 10/46 FIXED 3                  | CUSIP: 3132WHEG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       535063 | PA      | $482501.39      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-22R                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 22R 1A1          | CUSIP: 02147LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49499 | PA      | $27111.27       | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2005-WF1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF1 M1            | CUSIP: 17307GPG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1977018 | PA      | $1987704.93     | 0.00%             | 2034-11-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A E 144A         | CUSIP: 21055PAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19448815 | PA      | $19761678.31    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7751 FR 01/29 FIXED 3                  | CUSIP: 3132A8TG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1424066 | PA      | $1407235.83     | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BT2788 FN 08/51 FIXED 2.5                        | CUSIP: 3140LRC22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6990315 | PA      | $6002630.83     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q44018 FG 10/46 FIXED 3                  | CUSIP: 3132WHPC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       247571 | PA      | $223694.74      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-8                                                    | GSAA HOME EQUITY TRUST GSAA 2007 8 A2                      | CUSIP: 38144RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       428603 | PA      | $424584.15      | 0.00%             | 2037-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7840 FN 02/47 FIXED 4                          | CUSIP: 3140FTWA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21277 | PA      | $20467.72       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 4A1            | CUSIP: 05949AJ43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        82190 | PA      | $80876.89       | 0.00%             | 2035-02-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-5                                                 | AEGIS ASSET BACKED SECURITIES AABST 2004 5 M2              | CUSIP: 00764MDH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5916626 | PA      | $5384430.42     | 0.00%             | 2034-12-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2022-R2                                                                | CIM TRUST CIM 2022 R2 M2 144A                              | CUSIP: 12567NAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19311000 | PA      | $14968201.35    | 0.01%             | 2061-12-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3480274.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1          | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       248959 | PA      | $229784.16      | 0.00%             | 2036-02-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q22588 FG 10/43 FIXED 3                  | CUSIP: 3132JP2V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9392 | PA      | $8646.28        | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL3                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL3 B4 144A        | CUSIP: 12596RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141127055 | PA      | $111061276.72   | 0.05%             | 2054-12-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-4                                          | AEGIS ASSET BACKED SECURITIES AABST 2005 4 M2              | CUSIP: 00764MGH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4217397 | PA      | $4079165.52     | 0.00%             | 2035-10-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP4058 FN 08/27 FIXED 3                          | CUSIP: 3138M7QL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10091 | PA      | $9988.83        | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80000 08/30/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1640414.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $24065.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXII LTD / PREFERRED TERM SECURITIES XXII INC          | PREFERRED TERM XXII SR SECURED 144A 09/36 VAR              | CUSIP: 74042MAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     28679229 | PA      | $27030173.42    | 0.01%             | 2036-09-22      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.36000 10/07/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-1696450.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I 2007-SA4                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA4 3A1           | CUSIP: 74959AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4099643 | PA      | $2494647.60     | 0.00%             | 2037-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-7                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 7 M2              | CUSIP: 86358EWD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10783893 | PA      | $10603009.46    | 0.01%             | 2035-08-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE7202 FN 11/25 FIXED 3.5                        | CUSIP: 31419JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          233 | PA      | $231.84         | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S1 A7            | CUSIP: 16162WRD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8309 | PA      | $1978.96        | 0.00%             | 2036-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5019 FR 10/39 FIXED 4                  | CUSIP: 3133KYSG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35794 | PA      | $35151.15       | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3              | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     37669000 | PA      | $30262406.71    | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TRUST                                                      | UPX HIL 2025 1 ISSUER TRUST UPXHI 2025 1 A 144A            | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13559206 | PA      | $13627856.26    | 0.01%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2024-2A                                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2024 2A A3 144A       | CUSIP: 73328NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41000000 | PA      | $41105181.40    | 0.02%             | 2027-10-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5475 FN 02/47 FIXED 3.5                        | CUSIP: 3140FRCM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45111 | PA      | $42002.19       | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED REGS 02/27 5.875               | CUSIP: ACI13Z7Z8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      3500000 | PA      | $3717603.09     | 0.00%             | 2027-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0862 FN 09/47 FIXED 3.5                        | CUSIP: 3140Q75Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2330854 | PA      | $2174941.24     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0304 G2 04/55 FIXED 3.5                     | CUSIP: 3618N5KS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32100219 | PA      | $29288840.95    | 0.01%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-57CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 57CB 3A7         | CUSIP: 12668AYN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2255143 | PA      | $1030623.05     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-40T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 40T1 2A5         | CUSIP: 02148KAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       324620 | PA      | $67190.53       | 0.00%             | 2036-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-AR1                                               | HSI ASSET LOAN OBLIGATION HALO 2007 AR1 2A1                | CUSIP: 40431LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       676595 | PA      | $425841.34      | 0.00%             | 2037-01-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9242 FN 10/46 FIXED 3.5                        | CUSIP: 3140FHHU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24803 | PA      | $23017.15       | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-11                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 11 2A1            | CUSIP: 863579RR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2441606 | PA      | $1708820.21     | 0.00%             | 2035-05-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 11 A10                    | CUSIP: 12544LAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4472562 | PA      | $1901744.75     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8858 FN 07/46 FIXED VAR                        | CUSIP: 3138ETZY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       200663 | PA      | $193095.34      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR8559 FN 04/27 FIXED 3                          | CUSIP: 3138W6QM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21276 | PA      | $21096.93       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6520 FN 01/46 FIXED 3.5                        | CUSIP: 3138WGG65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65250 | PA      | $61243.20       | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                   | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2240998 | PA      | $2117841.31     | 0.00%             | 2036-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5699 FN 03/48 FIXED 4.5                        | CUSIP: 3140H7KM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55586 | PA      | $55302.29       | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES9                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES9 A1A 144A        | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39499136 | PA      | $39948857.59    | 0.02%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                    | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     72900000 | PA      | $1775157.01     | 0.00%             | 2026-05-20      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3237 FR 05/53 FIXED 5.5                | CUSIP: 3132DQS23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13448589 | PA      | $13622345.17    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6213 FN 11/45 FIXED 4                          | CUSIP: 3138WF3X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       300555 | PA      | $289343.98      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                               | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                  | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |     50862666 | NS      | $80363012.28    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTEX HOME EQUITY 2005-B                                                        | CENTEX HOME EQUITY CXHE 2005 B M3                          | CUSIP: 152314ND8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       933828 | PA      | $933787.36      | 0.00%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-4                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 4 M6              | CUSIP: 86358ESQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1140512 | PA      | $741978.58      | 0.00%             | 2035-05-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2145                                                                 | FREDDIE MAC FHR 2145 MZ                                    | CUSIP: 3133TKE22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22156 | PA      | $22550.92       | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 8 M5               | CUSIP: 1266735Y4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       244241 | PA      | $244151.53      | 0.00%             | 2035-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6400 FN 12/45 FIXED 4                          | CUSIP: 3138WGDE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       318355 | PA      | $304520.33      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                             | GSAMP TRUST GSAMP 2007 FM1 A2A                             | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       611645 | PA      | $302818.16      | 0.00%             | 2036-12-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4943 FN 03/53 FIXED 6.5                        | CUSIP: 31418EP53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       178294 | PA      | $184971.43      | 0.00%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                                           | LEHMAN XS TRUST LXS 2006 7 1A1A                            | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12330280 | PA      | $10811338.52    | 0.01%             | 2036-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2024-CES2                                        | JP MORGAN MORTGAGE TRUST JPMMT 2024 CES2 PT 144A           | CUSIP: 46658QAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130283159 | PA      | $141913211.26   | 0.07%             | 2055-02-25      | Fixed         | 9.60%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR 01/31 5.95                | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    176125000 | PA      | $170706443.93   | 0.08%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9116 FN 04/53 FIXED 5.5                        | CUSIP: 3140NEDW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1367120 | PA      | $1384783.40     | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.00000 06/20/24-2Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3083180.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A A2 144A        | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6173531 | PA      | $6252098.27     | 0.00%             | 2029-10-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| RED & BLACK AUTO ITALY SRL 3                                                     | RED + BLACK AUTO ITALY RNBAI 3 A REGS                      | CUSIP: ACI2R1Y85<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |      6638385 | PA      | $7827874.57     | 0.00%             | 2036-07-28      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-A                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 A A2                 | CUSIP: 59020UTC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        69258 | PA      | $60768.81       | 0.00%             | 2030-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251128                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-397777.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20251010                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $879415.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 15 LTD                                                               | ELMWOOD CLO 15 LTD ELM15 2022 2A A1R 144A                  | CUSIP: 29003JAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     30600000 | PA      | $30716389.55    | 0.02%             | 2035-04-22      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2005-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 FRE1 M2          | CUSIP: 46626LCD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6100000 | PA      | $5378535.31     | 0.00%             | 2035-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A C 144A                          | CUSIP: ACI2M18S5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    129635000 | PA      | $174924174.11   | 0.09%             | 2035-06-21      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH2941 FR 10/53 FIXED 6                  | CUSIP: 3133CFHS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38435 | PA      | $39466.25       | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 1A1            | CUSIP: 68401TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25384085 | PA      | $16961831.08    | 0.01%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                        | HILTON USA TRUST HILT 2016 SFP A 144A                      | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71800000 | PA      | $60203617.90    | 0.03%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251029                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-2256064.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A6            | CUSIP: 32028GAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3900000 | PA      | $3377236.98     | 0.00%             | 2036-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| DAVIS SQUARE FUNDING LTD 2005-5A                                                 | DAVIS SQUARE FUNDING LTD DVSQ 2005 5A B 144A               | CUSIP: 239156AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     52400000 | PA      | $12555406.80    | 0.01%             | 2040-10-08      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2004-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2004 3 M4             | CUSIP: 68389FFW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6968 | PA      | $7999.54        | 0.00%             | 2034-11-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8526 FR 04/55 FIXED 6.5                | CUSIP: 3132DWPK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2999701 | PA      | $3102680.27     | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A4C           | CUSIP: 251513BA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2246612 | PA      | $1967539.99     | 0.00%             | 2036-10-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| US CAPITAL FUNDING VI LTD/US CAPITAL FUNDING VI CORP                             | US CAP FDG VI LTD/CORP ASSET BACKED 144A 07/43 VAR         | CUSIP: 903428AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     38279314 | PA      | $32346020.08    | 0.02%             | 2043-07-10      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2008-RR1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 RR1 A1A1 144A     | CUSIP: 173145AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       115386 | PA      | $103130.12      | 0.00%             | 2037-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2010-4                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2010 4 3A6 144A        | CUSIP: 17315QAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1952063 | PA      | $782140.45      | 0.00%             | 2037-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.87200 04/06/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-34123337.37   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                      | NEWGATE FUNDING PLC NGATE 2007 3X A2B REGS                 | CUSIP: B2NDQDII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1761350 | PA      | $2044212.17     | 0.00%             | 2050-12-15      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3            | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7226571 | PA      | $1898524.30     | 0.00%             | 2037-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | CARVANA CO SR SECURED 144A 06/31 9                         | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    266686621 | PA      | $302147407.62   | 0.15%             | 2031-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-28                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 28 A12                    | CUSIP: 126694PS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11345 | PA      | $6360.45        | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 B2 144A       | CUSIP: 173114AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9043050 | PA      | $8447101.25     | 0.00%             | 2070-03-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                                | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2C           | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18999932 | PA      | $7502391.17     | 0.00%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD5573 FN 03/55 FIXED 6.5                        | CUSIP: 3140B6FP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1999800 | PA      | $2083679.95     | 0.00%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.43091 09/03/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $572355.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0481 FN 08/30 FIXED 4.5                        | CUSIP: 31417YRB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5593 | PA      | $5613.96        | 0.00%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.30000 12/02/24-29Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $13612691.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH2811 FN 02/26 FIXED 4                          | CUSIP: 3138A4DR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          322 | PA      | $321.27         | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM3 TRUST                                                             | PRP ADVISORS, LLC PRPM 2024 NQM3 A1 144A                   | CUSIP: 69381FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9349789 | PA      | $9375506.07     | 0.00%             | 2069-08-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN3796 FR 03/39 FIXED 3.5                | CUSIP: 3131YAGD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       306550 | PA      | $290297.56      | 0.00%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES5                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES5 A1A 144A        | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39967952 | PA      | $40421384.86    | 0.02%             | 2044-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1            | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51991 | PA      | $47624.57       | 0.00%             | 2035-06-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A D 144A         | CUSIP: 21056EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6153621 | PA      | $6414504.22     | 0.00%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 16 A20                    | CUSIP: 12669G3N9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       769658 | PA      | $465758.01      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A R                            | CUSIP: ACI2NGCQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     23143000 | PA      | $23598169.50    | 0.01%             | 2058-06-28      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $522332.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54645 FG 03/48 FIXED 3.5                | CUSIP: 3132XXET2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11749 | PA      | $10953.28       | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR3                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A          | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1873116 | PA      | $1661305.45     | 0.00%             | 2046-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-ATH2                                                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2022 ATH2 A1 144A        | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14518654 | PA      | $14478009.49    | 0.01%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2079 FR 10/52 FIXED 4                  | CUSIP: 3132DPJY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1524 | PA      | $1440.91        | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG7216 FR 07/53 FIXED 5                  | CUSIP: 3133C8AR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9903046 | PA      | $9873903.86     | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B A1B 144A         | CUSIP: 78450CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45290984 | PA      | $45375655.42    | 0.02%             | 2052-03-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5471 FN 09/54 FIXED 6                          | CUSIP: 31418FCH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31939668 | PA      | $32658871.60    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W1                                                    | ARGENT SECURITIES INC. ARSI 2006 W1 A2C                    | CUSIP: 040104RF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13863147 | PA      | $12868648.91    | 0.01%             | 2036-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 11A2 144A       | CUSIP: 12642YGS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1444216 | PA      | $368421.48      | 0.00%             | 2036-08-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2024-RCF4                                                       | PRP ADVISORS, LLC PRPM 2024 RCF4 A1 144A                   | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       722690 | PA      | $713209.51      | 0.00%             | 2054-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H09 FA             | CUSIP: 38380LFE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16726350 | PA      | $16931863.03    | 0.01%             | 2068-04-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A A 144A                         | CUSIP: ACI2P7WZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    412777945 | PA      | $555958015.10   | 0.27%             | 2062-11-16      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.06-2 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-411561.69     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| EVERGLADES RE II LTD                                                             | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR              | CUSIP: 30014LAM6<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     49280000 | PA      | $52037216.00    | 0.03%             | 2031-05-13      | Floating      | 14.46%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-MN1A                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 MN1A A4 144A      | CUSIP: 863613AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14771202 | PA      | $9266559.92     | 0.00%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 11A1          | CUSIP: 07387AFV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       904620 | PA      | $810515.77      | 0.00%             | 2036-02-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE2                                              | MORGAN STANLEY CAPITAL INC MSAC 2005 HE2 M6                | CUSIP: 61744CNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2614192 | PA      | $2279194.66     | 0.00%             | 2035-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20251119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-72160.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO 2003-37A                                          | STRUCTURED ASSET SECURITIES CO SASC 2003 37A 3A7           | CUSIP: 86359BBZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       181917 | PA      | $178960.19      | 0.00%             | 2033-12-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.098 03/28/24-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-28783693.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB2                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB2 B 144A        | CUSIP: 054987AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160044470 | PA      | $141872412.71   | 0.07%             | 2053-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| REGATTA XVI FUNDING LTD 2019-2A                                                  | REGATTA XVI FUNDING LTD. REG16 2019 2A A1R 144A            | CUSIP: 75888TAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     74426524 | PA      | $74609001.15    | 0.04%             | 2033-01-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B D                | CUSIP: 78450CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4600000 | PA      | $4825597.34     | 0.00%             | 2052-03-15      | Fixed         | 8.29%                 | No            |                  2 | On Loan: No      |
| PRKCM 2024-AFC1 TRUST                                                            | PRKCM TRUST PRKCM 2024 AFC1 A1 144A                        | CUSIP: 69380WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17047868 | PA      | $17261150.54    | 0.01%             | 2059-03-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $13477382.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2169 FN 08/48 FIXED 4.5                        | CUSIP: 3140Q9MT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50436 | PA      | $49623.33       | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-6                                                           | LEHMAN XS TRUST LXS 2005 6 2A1                             | CUSIP: 525221CZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3208458 | PA      | $2082590.68     | 0.00%             | 2035-11-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $20271.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-808122.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-30CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 30CB 1A8         | CUSIP: 12667GXS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       877348 | PA      | $548711.08      | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-6F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 6F 1A1                    | CUSIP: 36298BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5055 | PA      | $0.05           | 0.00%             | 2036-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR4                                                          | BCAP LLC TRUST BCAP 2009 RR4 10A2 144A                     | CUSIP: 05531RAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       783551 | PA      | $635678.98      | 0.00%             | 2036-01-26      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO7262 FN 01/35 FIXED 3                          | CUSIP: 3140K3B84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        66389 | PA      | $63930.73       | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-R2                                                     | PAGAYA AI DEBT SELECTION TRUST PAID 2025 R2 A 144A         | CUSIP: 69544VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58438814 | PA      | $58638487.49    | 0.03%             | 2032-10-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB5                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB5 A3           | CUSIP: 81376WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6792181 | PA      | $4629642.38     | 0.00%             | 2036-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3211 FN 12/47 FIXED 4                          | CUSIP: 31418CR97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       969471 | PA      | $934594.62      | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXII LTD                                                            | SYMPHONY CLO LTD SYMP 2020 22A A1AR 144A                   | CUSIP: 87167GCH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     33483934 | PA      | $33532522.71    | 0.02%             | 2033-04-18      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECU 2005-FR1                                          | BEAR STEARNS ASSET BACKED SECU BSABS 2005 FR1 M2           | CUSIP: 073879G69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2444221 | PA      | $2403254.19     | 0.00%             | 2035-06-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1A 144A         | CUSIP: 83207QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101509271 | PA      | $104284676.71   | 0.05%             | 2053-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1958 FN 11/46 FIXED 3.5                        | CUSIP: 3140FME85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        90483 | PA      | $84628.29       | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51328 FG 10/47 FIXED 3.5                | CUSIP: 3132XTPN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58717 | PA      | $54816.74       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-6                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 6 2A2             | CUSIP: 05950RBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1004727 | PA      | $834970.99      | 0.00%             | 2036-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3A          | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10145147 | PA      | $7479330.89     | 0.00%             | 2037-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2023-RP1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2023 RP1 SA 144A       | CUSIP: 173118AR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       127305 | PA      | $126115.72      | 0.00%             | 2062-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG          | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     15734000 | PA      | $2045420.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RMAC NO 3 PLC 3                                                                  | RMAC PLC RMAC 3 A REGS                                     | CUSIP: ACI2JQ870<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      6599511 | PA      | $8907517.61     | 0.00%             | 2047-02-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM4 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM4 A1 144A             | CUSIP: 67448GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30306997 | PA      | $30443184.82    | 0.02%             | 2063-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3200                                                                 | FREDDIE MAC FHR 3200 SB                                    | CUSIP: 31397AJC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       908008 | PA      | $106353.65      | 0.00%             | 2036-08-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3121 FN 09/47 FIXED 4                          | CUSIP: 31418CPF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6227567 | PA      | $5989745.74     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                            | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 B A2 144A        | CUSIP: 80280BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1989812 | PA      | $2004917.18     | 0.00%             | 2033-01-18      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251015                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $299.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-WF1                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M2              | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       146732 | PA      | $146868.30      | 0.00%             | 2036-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55800 08/21/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $416135.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9103 FN 03/53 FIXED 6                          | CUSIP: 3140NEDH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       273320 | PA      | $282160.76      | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL4                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL4 PT 144A         | CUSIP: 52472GAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147608156 | PA      | $135286373.27   | 0.07%             | 2058-01-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA8391 FN 12/35 FIXED 3                          | CUSIP: 3140QGKD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13059 | PA      | $12581.86       | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $8125.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0493 FN 10/47 FIXED 4                          | CUSIP: 3140Q7RP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68696 | PA      | $66090.56       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ2 A2            | CUSIP: 83611XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       569821 | PA      | $416077.65      | 0.00%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                                  | ARGENT SECURITIES INC. ARSI 2006 W5 A2D                    | CUSIP: 04012XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5382026 | PA      | $1467469.68     | 0.00%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                     | SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/29 7           | CUSIP: ACI2L7QV6<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |      2072189 | PA      | $321189.30      | 0.00%             | 2029-09-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $186520.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-9F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 9F 4A1                    | CUSIP: 3622X7AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       543320 | PA      | $185945.46      | 0.00%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS5053 FN 06/53 FIXED VAR                        | CUSIP: 3140XLTK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7432918 | PA      | $7523404.98     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SEC 2007-2                                         | CITICORP RESIDENTIAL MORTGAGE CRMSI 2007 2 M1              | CUSIP: 17312HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13851477 | PA      | $13687983.52    | 0.01%             | 2037-06-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 1A1           | CUSIP: 12668AXB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55735 | PA      | $53063.62       | 0.00%             | 2035-12-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 B1             | CUSIP: 863579JK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9854 | PA      | $8749.27        | 0.00%             | 2035-01-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/13/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-12858461.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $184953.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 SA 144A       | CUSIP: 17329HAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       304117 | PA      | $302443.80      | 0.00%             | 2060-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-2                                                 | CONSECO FINANCIAL CORP GT 1999 2 A7                        | CUSIP: 393505W32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       698549 | PA      | $702080.92      | 0.00%             | 2030-12-01      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $145102.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4785 FN 10/52 FIXED 5                          | CUSIP: 31418EJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26313 | PA      | $26237.31       | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-252073.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008709 G2 10/25 FLOATING VAR                  | CUSIP: 36202KVA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            2 | PA      | $2.30           | 0.00%             | 2025-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A2            | CUSIP: 75116BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6675418 | PA      | $5475895.66     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2357853.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 3A2             | CUSIP: 86359BGC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       146972 | PA      | $144396.54      | 0.00%             | 2034-02-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED REGS 09/43 5.875           | CUSIP: X74359AC8<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    105600000 | PA      | $72276864.00    | 0.04%             | 2043-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4714 FR 04/47 FIXED 4                  | CUSIP: 3132A5GX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       332375 | PA      | $319734.32      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7555 FN 03/53 FIXED 5.5                        | CUSIP: 3140NCMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1401203 | PA      | $1419307.41     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-26825759.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE4                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE4 1A4          | CUSIP: 07386RAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14775000 | PA      | $12575948.10    | 0.01%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5959 FN 02/47 FIXED 4                          | CUSIP: 3140FRTR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12991 | PA      | $12374.98       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A2                 | CUSIP: 466247E74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1107886 | PA      | $768548.85      | 0.00%             | 2036-02-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-42035.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.25000 06/17/20-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $353689901.87   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE9 M2           | CUSIP: 073879R59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3325254 | PA      | $3328484.51     | 0.00%             | 2035-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2024-1                                               | CAPITAL STREET MASTER TRUST CAPST 2024 1 A 144A            | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129300000 | PA      | $129739374.33   | 0.06%             | 2028-10-16      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET H                                      | CUSIP: ACI01UGT7<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4742 FN 11/27 FIXED VAR                        | CUSIP: 3140J9HU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21273 | PA      | $20895.49       | 0.00%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/27 VAR                  | CUSIP: 45870GAA4<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      1350000 | PA      | $1409535.00     | 0.00%             | 2027-06-06      | Floating      | 11.96%                | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A3C          | CUSIP: 00075VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2468471 | PA      | $1005225.69     | 0.00%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-AC                               | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC1 A1           | CUSIP: 07384YQJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       361209 | PA      | $522630.84      | 0.00%             | 2034-03-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2020-A                                                    | SOFI ALTERNATIVE TRUST SAT 2020 A R2 144A                  | CUSIP: 83406X202<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        50000 | PA      | $825896.10      | 0.00%             | 2046-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PALM RE LTD                                                                      | PALM RE LTD UNSECURED 144A 06/32 VAR                       | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |      5800000 | PA      | $6139590.00     | 0.00%             | 2032-06-07      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH6742 G2 07/48 FIXED 4                       | CUSIP: 3617H4P39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       593037 | PA      | $561827.18      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 758614 FN 11/33 FLOATING VAR                     | CUSIP: 31403UYK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4328 | PA      | $4389.39        | 0.00%             | 2033-11-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-5A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 5A A2 144A               | CUSIP: 16144QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9766321 | PA      | $9773607.47     | 0.00%             | 2027-11-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                                  | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A       | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     35200000 | PA      | $35268640.00    | 0.02%             | 2035-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-RPL1                         | MSRM 2025 RPL1 SA 144A                                     | CUSIP: 990AAXQZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1642356 | PA      | $1643266.74     | 0.00%             | 2075-11-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-4R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 4R 5A3 144A         | CUSIP: 12646DBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8262274 | PA      | $4038794.46     | 0.00%             | 2037-04-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES / NOTE COMPANY GUAR 144A 09/26 4.5         | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     16083000 | PA      | $16087335.98    | 0.01%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2412                                                                 | FREDDIE MAC FHR 2412 SP                                    | CUSIP: 31339DW95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5117 | PA      | $5578.11        | 0.00%             | 2032-02-15      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1002 FN 07/49 FIXED 4.5                        | CUSIP: 3140JVDG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18418 | PA      | $18126.20       | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5140 FN 09/53 FIXED 6.5                        | CUSIP: 31418EWA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4982078 | PA      | $5165221.22     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08792 FG 12/47 FIXED 3.5                | CUSIP: 3128MJ3A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2995222 | PA      | $2794276.45     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RCF6 A1 144A                   | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7956652 | PA      | $7810052.09     | 0.00%             | 2064-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON AUTO TRUST 2024-1A                                                    | HUNTINGTON AUTO TRUST HUNT 2024 1A A2 144A                 | CUSIP: 446144AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3096856 | PA      | $3098090.23     | 0.00%             | 2027-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251128                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $220452.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HILDENE TRUPS 2019-2A                                                            | HILDENE CLO HITR 2019 2A A1 144A                           | CUSIP: 43133JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2178570 | PA      | $2178570.34     | 0.00%             | 2039-05-22      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/20/23-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $30013616.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 3M2             | CUSIP: 05946XSH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7610374 | PA      | $6804222.50     | 0.00%             | 2035-04-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| RAMP TRUST 2004-RS2                                                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS2 MII2          | CUSIP: 760985R45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       370057 | PA      | $338700.01      | 0.00%             | 2034-02-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C48                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 C48 XA            | CUSIP: 95001RAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114366940 | PA      | $2670914.08     | 0.00%             | 2052-01-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7303 FN 12/44 FIXED 4                          | CUSIP: 3138Y9DH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30010 | PA      | $28930.71       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRIAXX PRIME CDO 2007-1A                                                         | TRIAXX PRIME CDO TRIAX 2007 1A A1T 144A                    | CUSIP: 896006AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5842938 | PA      | $53895.26       | 0.00%             | 2039-10-02      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-1                             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 1 A3             | CUSIP: 107933AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2021660 | PA      | $2023256.55     | 0.00%             | 2028-01-18      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                              | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR               | CUSIP: 92849FAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      4500000 | PA      | $4518450.00     | 0.00%             | 2030-01-08      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2006-3                                              | SAXON ASSET SECURITIES TRUST SAST 2006 3 A4                | CUSIP: 80556AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2734000 | PA      | $2421207.16     | 0.00%             | 2046-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $116958.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.09012 07/31/23-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-28794933.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO 2022 XXA LTD                                                        | TRINITAS CLO LTD TRNTS 2022 20A A1R 144A                   | CUSIP: 89640EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      5500000 | PA      | $5506050.00     | 0.00%             | 2035-07-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO MORGAN STANLEY                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -1106460 | PA      | $-1299040.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P5                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P5 A3 144A       | CUSIP: 14687RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9518487 | PA      | $9611591.04     | 0.00%             | 2029-01-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-2                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 2 1A1             | CUSIP: 05951GAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2123727 | PA      | $1559508.38     | 0.00%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S1 2A22                | CUSIP: 46630RBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       340360 | PA      | $118220.10      | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M4            | CUSIP: 04542BKV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1538840 | PA      | $1407933.84     | 0.00%             | 2035-03-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5593 G2 11/48 FIXED 3                       | CUSIP: 36179UGA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       247507 | PA      | $224571.92      | 0.00%             | 2048-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251003                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1100350.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $8836206.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.95000 10/27/22-6Y* LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $419598992.52   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1984 FN 03/29 FIXED 3                          | CUSIP: 3138WBF26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41562 | PA      | $40912.51       | 0.00%             | 2029-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1216702.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2 TRUST                                                             | GCAT GCAT 2024 NQM2 A1 144A                                | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16542573 | PA      | $16749689.46    | 0.01%             | 2059-06-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/27 4.95           | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      3700000 | PA      | $3695191.63     | 0.00%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2             | CUSIP: 61751QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3085683 | PA      | $1482182.76     | 0.00%             | 2036-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                                      | REPUBLIC OF PANAMA EUR TERM LOAN                           | CUSIP: BA000GRH5<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | CORP              | IE        |    144800000 | PA      | $170279585.68   | 0.08%             | 2027-03-05      | Floating      | 3.84%                 | No            |                  3 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA 2023 USD TERM LOAN B14                    | CUSIP: F6628DAN4<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |    116264020 | PA      | $112776099.56   | 0.06%             | 2028-08-15      | Floating      | 9.49%                 | No            |                  3 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                              | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M5                | CUSIP: 70069FCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8426450 | PA      | $8013741.68     | 0.00%             | 2034-12-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I 2007-T25                                                | MORGAN STANLEY CAPITAL I TRUST MSC 2007 T25 X 144A         | CUSIP: 61751XAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35196 | PA      | $0.55           | 0.00%             | 2049-11-12      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.74750 07/25/23-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4833508.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 701043 FN 04/33 FLOATING VAR                     | CUSIP: 31400XZG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          687 | PA      | $696.11         | 0.00%             | 2033-04-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A3            | CUSIP: 43709LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7484688 | PA      | $6858951.10     | 0.00%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7865 FN 06/28 FIXED 3                          | CUSIP: 3138WVW31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11061 | PA      | $10918.68       | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-WF4                                             | STRUCTURED ASSET SECURITIES CO SASC 2005 WF4 M8            | CUSIP: 863576DN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3197000 | PA      | $3159928.55     | 0.00%             | 2035-11-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A1                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A1 1A2            | CUSIP: 12566QAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6540704 | PA      | $5414956.43     | 0.00%             | 2037-01-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR6683 FN 02/28 FIXED 2.5                        | CUSIP: 3138W4M99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4633 | PA      | $4556.72        | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                                   | AVOLON TLB BORROWER 1 US LLC 2023 TERM LOAN B6             | CUSIP: 05400KAJ9<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |      7832360 | PA      | $7843246.97     | 0.00%             | 2030-06-24      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 7A4                 | CUSIP: 46630GBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19387 | PA      | $17405.04       | 0.00%             | 2035-07-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL REVOLVING LN 2005-E                                            | BAYVIEW FINANCIAL REVOLVING MO BAYRT 2005 E A2A 144A       | CUSIP: 073250CB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       608540 | PA      | $607590.45      | 0.00%             | 2040-12-28      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2006-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2006 1 1A1A                    | CUSIP: 81743QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1365991 | PA      | $766856.86      | 0.00%             | 2046-09-20      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4162 FR 05/27 FIXED 3                  | CUSIP: 3131X7TT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32844 | PA      | $32532.65       | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                                   | FREMONT HOME LOAN TRUST FHLT 2006 3 2A3                    | CUSIP: 35729MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17366082 | PA      | $5360715.06     | 0.00%             | 2037-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-5                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 5 2A1A           | CUSIP: 41161PNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7570892 | PA      | $6983600.35     | 0.00%             | 2045-07-19      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED REGS 06/47 5.25            | CUSIP: X5424XBQ0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    455800000 | PA      | $4.56           | 0.00%             | 2047-06-23      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 21 LTD                                                     | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 21A AR 144A           | CUSIP: 03331KAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     75350000 | PA      | $75421873.35    | 0.04%             | 2034-10-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D               | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1184692 | PA      | $521120.86      | 0.00%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4312 FN 02/46 FIXED 3.5                        | CUSIP: 3138YVYJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20893 | PA      | $19610.22       | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-6                                                    | COUNTRYWIDE HOME LOANS CWHL 2004 6 1A1                     | CUSIP: 12669FVD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        39718 | PA      | $39723.15       | 0.00%             | 2034-05-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1           | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8496243 | PA      | $6938920.16     | 0.00%             | 2037-06-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VII DAC 7A                                                            | ARBOUR CLO ARBR 7A AR 144A                                 | CUSIP: ACI2S2CF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     93400000 | PA      | $109818425.88   | 0.05%             | 2038-12-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-15                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 15 4A1            | CUSIP: 863579UU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1206709 | PA      | $1063020.37     | 0.00%             | 2035-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-3                                              | UPSTART SECURITIZATION TRUST UPST 2025 3 A2 144A           | CUSIP: 91684FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25500000 | PA      | $25527902.10    | 0.01%             | 2035-09-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A B 144A                          | CUSIP: ACI2M1B10<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    185225000 | PA      | $249166797.39   | 0.12%             | 2035-06-21      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 8F 3A5                    | CUSIP: 362341WB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       242579 | PA      | $83535.56       | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2304 FN 06/45 FIXED 4                          | CUSIP: 31418BR24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1153608 | PA      | $1111775.40     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST 2023-1A                                         | FIRST INVESTORS AUTO OWNER TRU FIAOT 2023 1A A 144A        | CUSIP: 320986AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9299319 | PA      | $9387885.82     | 0.00%             | 2028-10-16      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XVIII LTD / PREFERRED TERM SECURITIES XVIII INC        | PREFERRED TERM XVIII SECURED 144A 09/35 VAR                | CUSIP: 74042WAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     20534689 | PA      | $17865179.79    | 0.01%             | 2035-09-23      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| RAD CLO 10 LTD 2021-10A                                                          | RAD CLO LTD RAD 2021 10A A 144A                            | CUSIP: 48662LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14510000 | PA      | $14537016.17    | 0.01%             | 2034-04-23      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2022-INV1                                             | BINOM SECURITIZATION TRUST BINOM 2022 INV1 A1 144A         | CUSIP: 090975AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84597229 | PA      | $82493574.65    | 0.04%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| DRYDEN EURO CLO 20-74A                                                           | DRYDEN LEVERAGED LOAN CDO DRYD 2020 74A B2R 144A           | CUSIP: ACI2Z96Z0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     12000000 | PA      | $14255996.11    | 0.01%             | 2039-10-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 3 LLC/ABILENE DC 4 LLC                                                | PROJECT FLASH DELAYED DRAW TERM LOAN 2                     | CUSIP: BA000KJT9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    564027592 | PA      | $564027591.99   | 0.28%             | 2030-04-30      | Floating      | 3.55%                 | No            |                  3 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 C 144A         | CUSIP: 69544MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4939660 | PA      | $4977946.65     | 0.00%             | 2032-06-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9579 FN 12/46 FIXED 4                          | CUSIP: 3140FHUD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102264 | PA      | $98524.16       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEWARK BSL CLO 2 LTD 2017 1A                                                     | NEWARK BSL CLO 2 LTD. NBCLO 2017 1A A1R 144A               | CUSIP: 65023PAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2973300 | PA      | $2977764.08     | 0.00%             | 2030-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-10                                                             | IMPAC CMB TRUST IMM 2004 10 1A1                            | CUSIP: 45254NLJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2908270 | PA      | $2831209.35     | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED 144A 01/32 4.193                    | CUSIP: 74365PAH1<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     28000000 | PA      | $26883684.52    | 0.01%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| TRINITAS EURO CLO V DAC 1A                                                       | TRINITAS EURO CLO TRNTE 1A AR 144A                         | CUSIP: ACI2XTDT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     47800000 | PA      | $56276756.61    | 0.03%             | 2039-07-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0129 FN 11/34 FIXED VAR                        | CUSIP: 3140XFEB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4737539 | PA      | $4675195.74     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20251002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $94.58          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR6                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR6 1A           | CUSIP: 93935FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       213190 | PA      | $182385.10      | 0.00%             | 2046-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1055 FN 12/47 FIXED 3.5                        | CUSIP: 3140Q8E50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32415 | PA      | $30203.15       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5614 FN 01/53 FIXED 5.5                        | CUSIP: 3140NAGY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1670717 | PA      | $1692732.77     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH0208 FN 03/47 FIXED 4                          | CUSIP: 3140GNGS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26408 | PA      | $25402.65       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A1             | CUSIP: 59024FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13968636 | PA      | $2269691.03     | 0.00%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA2 A1           | CUSIP: 126694R75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16545980 | PA      | $14829139.41    | 0.01%             | 2046-05-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J3                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J3 1A5           | CUSIP: 12667GDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       401752 | PA      | $319770.95      | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN4642 FR 12/48 FIXED 3.5                | CUSIP: 3131YBEP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21866589 | PA      | $20360612.84    | 0.01%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5731 FN 02/53 FIXED 5.5                        | CUSIP: 3140QRLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28644794 | PA      | $29028154.27    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20251008                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $20271.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3153                                                          | FREDDIE MAC FHR 3153 XI                                    | CUSIP: 31396RPS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       577390 | PA      | $56635.22       | 0.00%             | 2036-05-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX4397 FN 12/52 FIXED 5                          | CUSIP: 3140N83F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       838646 | PA      | $842325.58      | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer