# EDGAR Filing Document

**Accession Number:** 0001738078
**File Stem:** 0001752724-23-039200
**Filing Date:** 2023-2
**Character Count:** 422136
**Document Hash:** a21c0bb6c126e06d23dcb509364888b2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-039200.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-039200

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Funds V
- **CENTRAL INDEX KEY:** 0001738078
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23339
- **FILM NUMBER:** 23665162

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### BlackRock Impact Mortgage Fund (Series ID: S000062364)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000202301 | Investor A Shares    |  |
| C000202302 | Investor C Shares    |  |
| C000202303 | Institutional Shares |  |
| C000202304 | Class R Shares       |  |
| C000202305 | Class K Shares       |  |

## Nport-Ex

Schedule of Investments (unaudited)

December 01, 2023

BlackRock Impact Mortgage Fund
(Percentages shown are based on Net Assets)

| Security | Fee (000) | Value | Security | Fee (000) | Value |
| --- | --- | --- | --- | --- | --- |
| Asset-Backed Securities |  |  | Commercial Mortgage-Backed Securities (continued) |  |  |
| Monarch Stock Index Trust |  |  | Altriaque Chase Commercial Mortgage |  |  |
| Schedule of Investments | 1.00 | 98 | 8 | 81,000 |  |
| Securities: 2023-06, Class A, 4.30% 2023/2023 |  | 100 |  | 867,100 |  |
| Total Asset-Backed Securities - 0.2% |  |  |  |  |  |
|  |  |  | BlackRock Impact Mortgage Fund |  |  |
|  |  |  | Mashin: 1.07% 0.00% 1.0% 0.00% |  |  |
|  |  |  | Peggyman: 0.00% 0.00% 0.00% |  |  |

2

3

(unpublished) (continued)

December 01, 2022[{"box_2d": [2, 35, 476, 92], "label": "table", "caption": "

| (Dollars in millions, 2021) | 1,000,000 | Notes | 1,000,000 | Notes |
| --- | --- | --- | --- | --- |
| Non-Agency Mortgage-Backed Securities |  |  |  |  |
| Commercial Mortgage Backed Securities - 1.5% |  |  |  |  |
| Commercial Mortgage Backed Securities - 1.5% |  |  |  |  |
| Total Non-Agency Mortgage Securities |  |  |  |  |
| Total Non-Agency Mortgage Securities |  |  |  |  |
| Total Non-Agency Mortgage Securities |  |  |  |  |
| Total Non-Agency Mortgage Securities |  |  |  |  |
| Total Non-Agency Mortgage Securities |  |  |  |  |
| Total Non-Agency Mortgage Securities |  |  |  |  |
| Total Non-Agency Mortgage Securities |  |  |  |  |
| Total Non-Agency Mortgage Securities |  |  |  |  |
| Total Non-Agency Mortgage Securities |  |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |
| Revenue |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |
| Revenue |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |
| Revenue |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |
| Revenue |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |
| Revenue |  |  |  |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |

| Revenue | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Total Revenue (Dollars in millions, 2021) |  |  |  |

| Notes | 1,000,000 | Notes |  |
| --- | --- | --- | --- |
| Notes - 0.77% | 1,034, 1,000,000 | 400 | 346,400 |
| Revenue | 1,000,000 | Notes |  |

<tabletabletabletabletabletabletabletabletabletabletabletabletabletabletabletabletabletabletabletabletabletabletabletable

# Schedule of Investments

(unaudited) (continued)

# BlackRock Impact Mortgage Fund
(Percentages shown are based on Net Assets)

December 31, 2022[{"box_2d": [0, 36, 476, 92], "label": "table", "caption": "

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| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
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| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| --- | --- | --- | --- | --- | --- | --- | --- |

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<table><tr><td>1. 2022</td><td>1. 2023</td><td>1. 2024</td><td>1. 2025</td><td>1. 2026</td><td>1. 2027</td><td>1. 2028</td><td>1. 2029</td></

Schedule of Investments

(unaudited) (continued)

BlackRock Impact Mortgage Fund

December 31, 2022

| 1. 2017年1月1日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| --- | --- | --- | --- | --- | --- |
| 2. 2017年1月2日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 3. 2017年1月3日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 4. 2017年1月4日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 5. 2017年1月5日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 6. 2017年1月6日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 7. 2017年1月7日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 8. 2017年1月8日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 9. 2017年1月9日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 10. 2017年1月10日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 11. 2017年1月11日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 12. 2017年1月12日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 13. 2017年1月13日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 14. 2017年1月14日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 15. 2017年1月15日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 16. 2017年1月16日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 17. 2017年1月17日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 18. 2017年1月18日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 19. 2017年1月19日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |
| 20. 2017年1月20日,公司实现营业收入3,500万元,同比增长4.6% | 1,000 | 1,000,000 | 2,000,000,000 | 2,000,000,000 | 2,000,000,000 |

6

Schedule of Investments

(unaudited) (continued)

BlackRock Impact Mortgage Fund

December 31, 2022

| Deduction/Financial Instruments Outstanding as of Period End |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- |
| 1. Deferred to the Bank of America, Inc. (1984) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 2. Deferred to the Bank of America, Inc. (1985) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 3. Deferred to the Bank of America, Inc. (1986) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 4. Deferred to the Bank of America, Inc. (1987) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 5. Deferred to the Bank of America, Inc. (1988) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 6. Deferred to the Bank of America, Inc. (1989) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 7. Deferred to the Bank of America, Inc. (1990) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 8. Deferred to the Bank of America, Inc. (1991) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 9. Deferred to the Bank of America, Inc. (1992) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 10. Deferred to the Bank of America, Inc. (1993) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 11. Deferred to the Bank of America, Inc. (1994) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 12. Deferred to the Bank of America, Inc. (1995) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 13. Deferred to the Bank of America, Inc. (1996) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 14. Deferred to the Bank of America, Inc. (1997) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 15. Deferred to the Bank of America, Inc. (1998) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 16. Deferred to the Bank of America, Inc. (1999) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 17. Deferred to the Bank of America, Inc. (2000) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

6

Schedule of Investments

(unqualified) (continued)

BlackRock Impact Mortgage Fund

December 31, 2022

| Commodity/Financial Impact on 2021 - Dec 2021 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Total Assets and Liabilities (in thousands) | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| Liabilities and Liabilities (in thousands) | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |

7

Schedule of Investments

BlackRock Impact Mortgage Fund

(unaudited) (continued)

December 31, 2022

Fair Value-Monorrhoea of Period End (continued)

• 2017年1月1日

• 2017年1月1日

• 2017年1月1日

1. 2017年1月1日

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| 1.077 | 1.057.246 | Associates, Series 2018-123, Class 1.06. | 0.00 | 0.0, 0.0 |
| --- | --- | --- | --- | --- |
| 1.077 | 1.057.246 | Total Other of these Class 1.06 | 0.00 | 0.0, 0.0 |
| 1.077 | 1.057.246 | Total Other of these Class 1.06 | 0.00 | 0.0, 0.0 |
| 1.077 | 1.057.246 | Total Other of these Class 1.06 | 0.00 | 0.0, 0.0 |

For the purpose of this report, we have been informed that we have been able to provide the information contained in this report. We have also been informed that we have been able to provide the information contained in this report. We have also been informed that we have been able to provide the information contained in this report. We have also been informed that we have been able to provide the information contained in this report. We have also been informed that we have been able to provide the information contained in this report. We have also been informed that we have been able to provide the information contained in this report. We have also been informed that we have been able to provide

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on that based level input has is significant to the fair value measurement in its entirety. Investments classified before Level 3 have significant unobtainable inputs used by the volunteer Committee in determining the price for that related investments. Level 3 investments include equity in debt issued by privately held companies or funds. These may not be a secondary market, and so there are a limited number of investors. The categorization of a value determined for financial instruments is based on the criteria and quantity of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund's financial assets, the financial instruments, refer to its main recent financial statements.

The following table summarizes the Fund's financial instruments recognized in the fair value hierarchy. The breakdown of the Fund's financial instruments also maps to the Fund's fair value hierarchy.

categories is disclosed in the Schedule of Investments above.

| Date | Frequency | Date | Frequency | Non-Initial Date | Initial Amount (000) | Value | Upfront Purchase |  | Unrealized Approx. Value (Depreciation) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  | Level 1 | Part (Pension) |  |
| 1.30th | Annual | 1 Aug 92/93 | Annual | 09/14/14 | 1,450 | 8,200 | $100,300 | $ - | $145,206 |
| 3.30th | Year Ended | 1 Aug 92/93 | Annual | 09/14/14 | 1,450 | 8,200 | 101,751 | - | 101,751 |
| 3.07th | Current Dividend | 1 Aug 92/93 | Annual | 09/14/14 | 1,450 | 5,200,000 | $99,957 | - | $1,100,000 |
| 4.10th | Year Ended | 1 Aug 92/93 | Annual | 09/14/14 | 1,450 | 10,000,000 | 77,385 | - | 10,000,000 |

| 4.32% U.K. Government | 4.32% | Government Agency | 1st step 4.32% | Annual | 9657316 | USD | 100,000 | 154 | 98,984 | - | - | 141,500,000 |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 1.4% | 1.4% | Government | 1st step 4.4% | Annual | 1637314 | USD | 18,000 | - | (380,034) | - | - | (380,034) |
| 1.4% | 1.4% | Government | 1st step 4.4% | Annual | 1,000,000 | USD | 18,000 | - | (380,377) | - | - | 1,000,000 |
| 1.4% | 1.4% | Armed | 1st step 4.4% | Annual | 1435014 | USD | 18,000 | - | (379,036) | - | - | (379,036) |
| 1.4% | 1.4% | Armed | 1st step 4.4% | Annual | 1243004 | USD | 20,000 | - | (324,387) | - | - | (324,387) |
| 4.10% | 1.4% | State Government | 1st step 4.10% | Annual | 1433004 | USD | 100,000 | 145 | 97,264 | - | - | 200,000 |
| 2.10% | 1.4% | Armed | 1st step 4.10% | Annual | 1,000,000 | USD | 20,000 | 1,000 | 1,000,000 | - | - | 400,000 |
| 2.60% | 1.4% | Armed | 1st step 4.10% | Annual | 1,000,000 | USD | 20,000 | 1,000 | 1,000,000 | - | - | 400,000 |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Funds V

- **b. Investment Company Act file number:** 811-23339

- **c. CIK number of Registrant:** 0001738078

- **d. LEI of Registrant:** 54930077DSFQPJDWM487

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Impact Mortgage Fund

- **b. EDGAR series identifier (if any):** S000062364

- **c. LEI of Series:** 0BCGDHAK1YNRZ76RTG35

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

- **a. Date of fiscal year-end:** 2023-09-30

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1074260376.05

**Total Liabilities:** $638607352.41

**Net Assets:** $435653023.64

**Cash Not Reported:** $0.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -331.85000000 | **1-Year:** 1543.68000000 | **5-Year:** 125162.06000000 | **10-Year:** 171400.17000000 | **30-Year:** 4292.45000000

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

- **3-Month:** 6089.03000000 | **1-Year:** 5730.24000000 | **5-Year:** 36.25000000 | **10-Year:** -940.97000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202304 | -1.61%               | 4.19%                | -0.84%               |
| Class ID C000202305 | -1.57%               | 4.25%                | -0.79%               |
| Class ID C000202302 | -1.77%               | 4.27%                | -0.88%               |
| Class ID C000202303 | -1.58%               | 4.24%                | -0.79%               |
| Class ID C000202301 | -1.59%               | 4.21%                | -0.81%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3866758.29              | $-12429939.14                              |
| Month 2  | $2356085.92              | $15535746.41                               |
| Month 3  | $-2423347.89             | $-2801247.66                               |

**Designated Index Information**

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

- **Index Identifier:** LUMSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4138426 | PA      | $3398353.02   | 0.78%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M55C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74643 | PA      | $72004.51     | 0.02%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145882 | PA      | $136410.80    | 0.03%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159908 | PA      | $148338.79    | 0.03%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132704 | PA      | $120697.53    | 0.03%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2041 | PA      | $1913.99      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16263 | PA      | $16778.39     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y4DD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    802039 | PA      | $744920.66    | 0.17%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-W10, Class A                                                        | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $237343.28    | 0.05%             | 2034-12-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                | BFLD Trust, Series 2019-DPLO, Class A                                                                                        | CUSIP: 054970AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45000 | PA      | $44150.11     | 0.01%             | 2034-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114501 | PA      | $107365.18    | 0.02%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56000 | PA      | $51442.45     | 0.01%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10331 | PA      | $9261.74      | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23292 | PA      | $21781.45     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3623000 | PA      | $-2947166.52  | -0.68%            | 2053-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3077630 | PA      | $2755203.42   | 0.63%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548168 | PA      | $509214.36    | 0.12%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5 Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -238 | NC      | $40674.27     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-151                                                | CUSIP: 38379UV45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4077165 | PA      | $147873.08    | 0.03%             | 2058-06-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YRY54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1116450 | PA      | $1154442.59   | 0.26%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -936000 | PA      | $-810911.14   | -0.19%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QQCY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21942623 | PA      | $19267405.39  | 4.42%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332106 | PA      | $286130.18    | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52096 | PA      | $54045.23     | 0.01%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F5XX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1050345 | PA      | $1056613.96   | 0.24%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135319 | PA      | $116100.48    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | -19100000 | PA      | $-44548.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WSQ87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11894119 | PA      | $10819471.02  | 2.48%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-CX11, Class A5                                                                  | CUSIP: 12652UAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    658000 | PA      | $613242.97    | 0.14%             | 2051-04-15      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225394 | PA      | $229221.92    | 0.05%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417S3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81826 | PA      | $83612.97     | 0.02%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113121 | PA      | $106196.01    | 0.02%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2005-50                                                                     | CUSIP: 38373MRC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1415222 | PA      | $7214.24      | 0.00%             | 2045-06-16      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-MFM1, Class C                                                                                          | CUSIP: 05608VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $428820.57    | 0.10%             | 2034-01-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94982 | PA      | $90859.60     | 0.02%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M32L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142788 | PA      | $138431.40    | 0.03%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F96N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1781061 | PA      | $1660085.74   | 0.38%             | 2044-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XRCZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112353 | PA      | $110272.08    | 0.03%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Note                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -244 | NC      | $574432.26    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41798 | PA      | $39308.96     | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200281 | PA      | $193513.68    | 0.04%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405302 | PA      | $392477.44    | 0.09%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    623850 | PA      | $553086.91    | 0.13%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3907477 | PA      | $-3589467.84  | -0.82%            | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101408 | PA      | $97982.85     | 0.02%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178EK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15222 | PA      | $14316.00     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36181D7A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128262 | PA      | $120656.34    | 0.03%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    631511 | PA      | $606898.49    | 0.14%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WBTZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146599 | PA      | $140239.64    | 0.03%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KPWV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25671758 | PA      | $25363693.88  | 5.82%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5K99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384238 | PA      | $359088.23    | 0.08%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413852 | PA      | $341450.69    | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12483 | PA      | $11705.24     | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31370 | PA      | $30309.49     | 0.01%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Securities (USA), Inc.                                               | HSBC Securities (USA), Inc.                                                                                                  | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Short            | RA               | CORP              | US        | -30306368 | PA      | $-30306368.24 | -6.96%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110180 | PA      | $103031.85    | 0.02%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362034 | PA      | $345821.10    | 0.08%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K110, Class X1 | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    793027 | PA      | $72357.25     | 0.02%             | 2030-04-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y4DQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1362119 | PA      | $1260935.60   | 0.29%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307MSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70009 | PA      | $65716.94     | 0.02%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YTMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35834 | PA      | $33522.35     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2005-9                                                                      | CUSIP: 38373MNX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    763506 | PA      | $5.57         | 0.00%             | 2045-01-16      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        | -16600000 | PA      | $-115450.96   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-LBA, Class AV                                                                                          | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $109306.04    | 0.03%             | 2036-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KNL76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6725742 | PA      | $5515010.91   | 1.27%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1488355 | PA      | $1219802.28   | 0.28%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138Y4BK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18312 | PA      | $17668.37     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YM5E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    806355 | PA      | $746591.27    | 0.17%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32302 | PA      | $32285.82     | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F95V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7528425 | PA      | $7017063.39   | 1.61%             | 2043-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -397000 | PA      | $-385055.28   | -0.09%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84730 | PA      | $79438.84     | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237811 | PA      | $211012.11    | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7016 | PA      | $6748.20      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38771 | PA      | $37233.63     | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312942F34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150546 | PA      | $144737.44    | 0.03%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275198 | PA      | $257335.10    | 0.06%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216171 | PA      | $203668.92    | 0.05%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179NJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13671 | PA      | $13206.22     | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27552 | PA      | $25423.53     | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J8F24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96432 | PA      | $97531.77     | 0.02%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5241 | PA      | $4902.68      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F4WR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4567010 | PA      | $3874625.65   | 0.89%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418XDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5200 | PA      | $5179.10      | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89619 | PA      | $84118.87     | 0.02%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  11700000 | PA      | $57234.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617FJZY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2156463 | PA      | $1773530.39   | 0.41%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73572 | PA      | $75311.95     | 0.02%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XGZ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217789 | PA      | $187651.76    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32908 | PA      | $30525.42     | 0.01%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Securities (USA), Inc.                                               | HSBC Securities (USA), Inc.                                                                                                  | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Short            | RA               | CORP              | US        | -46392811 | PA      | $-46392811.49 | -10.65%           |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QEQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247854 | PA      | $227451.69    | 0.05%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHPB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159835 | PA      | $149465.63    | 0.03%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176735 | PA      | $164064.92    | 0.04%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165855 | PA      | $164634.70    | 0.04%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    895324 | PA      | $878755.65    | 0.20%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1799426 | PA      | $1728109.09   | 0.40%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XXAP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1348986 | PA      | $1247809.87   | 0.29%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26691 | PA      | $27144.30     | 0.01%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50636 | PA      | $48688.56     | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178N7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43200 | PA      | $40626.45     | 0.01%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    678004 | PA      | $628994.54    | 0.14%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -2300000 | PA      | $-184176.35   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36807 | PA      | $33369.14     | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37205 | PA      | $34790.13     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73922 | PA      | $70712.48     | 0.02%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135943 | PA      | $127724.99    | 0.03%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49295 | PA      | $46358.91     | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  12800000 | PA      | $38593.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    479671 | PA      | $459454.59    | 0.11%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844416 | PA      | $832911.97    | 0.19%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2 Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -57 | NC      | $15813.83     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21869300 | PA      | $19446822.77  | 4.46%             | 2038-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65396 | PA      | $64562.16     | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78247 | PA      | $74854.26     | 0.02%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17406 | PA      | $16603.04     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140KSS57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474412 | PA      | $407727.60    | 0.09%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-32, Class PI                                                              | CUSIP: 3136B9RB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1478969 | PA      | $282918.69    | 0.06%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89594 | PA      | $83772.93     | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110187 | PA      | $100217.75    | 0.02%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1051563 | PA      | $981244.04    | 0.23%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -6900000 | PA      | $-387588.54   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576344 | PA      | $509168.90    | 0.12%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33828 | PA      | $31632.63     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109228 | PA      | $107301.12    | 0.02%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC Securities (USA), Inc.                                               | HSBC Securities (USA), Inc.                                                                                                  | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Short            | RA               | CORP              | US        |  -4609340 | PA      | $-4609339.99  | -1.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146853 | PA      | $133616.33    | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    430946 | PA      | $413749.63    | 0.09%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WR4N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1139064 | PA      | $1017784.23   | 0.23%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243335 | PA      | $187924.64    | 0.04%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class XA                                                       | CUSIP: 03882KAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1461957 | PA      | $60705.85     | 0.01%             | 2054-10-15      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K105, Class X1 | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9003603 | PA      | $746530.13    | 0.17%             | 2030-01-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39204 | PA      | $37548.48     | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88643 | PA      | $79644.40     | 0.02%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5213847 | PA      | $4265290.62   | 0.98%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88930 | PA      | $85078.48     | 0.02%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    446608 | PA      | $366296.24    | 0.08%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180DQD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39609 | PA      | $37259.67     | 0.01%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                                            | KKR Industrial Portfolio Trust, Series 2021-KDIP, Class B                                                                    | CUSIP: 48254CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $100452.74    | 0.02%             | 2037-12-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156011 | PA      | $141856.51    | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B21, Class XA                                                                          | CUSIP: 08163LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2718579 | PA      | $207113.05    | 0.05%             | 2053-12-17      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323100 | PA      | $279920.29    | 0.06%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4344 | PA      | $4263.26      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32607 | PA      | $33152.11     | 0.01%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -6813417 | PA      | $-6065179.54  | -1.39%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YM4W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445870 | PA      | $426972.68    | 0.10%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180DQE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28987 | PA      | $27260.20     | 0.01%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420082 | PA      | $392942.01    | 0.09%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33760 | PA      | $33466.87     | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38679 | PA      | $38185.37     | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180DVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121136 | PA      | $113920.87    | 0.03%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170086 | PA      | $167118.85    | 0.04%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38613 | PA      | $36898.75     | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156810 | PA      | $127757.87    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2173386 | PA      | $1836261.63   | 0.42%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J74X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517299 | PA      | $497310.52    | 0.11%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WBVE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    988325 | PA      | $936861.81    | 0.22%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397812 | PA      | $377838.28    | 0.09%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219605 | PA      | $223312.70    | 0.05%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71511 | PA      | $69224.96     | 0.02%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417FSK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87210 | PA      | $79356.60     | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    951000 | PA      | $952714.22    | 0.22%             | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19894 | PA      | $20575.36     | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252652 | PA      | $195197.21    | 0.04%             | 2050-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A                                                                    | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2760000 | PA      | $2690418.74   | 0.62%             | 2034-09-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416PM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       534 | PA      | $542.26       | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16139 | PA      | $15090.66     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870794 | PA      | $801209.93    | 0.18%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31412QM89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225849 | PA      | $233979.84    | 0.05%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BUEB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44797 | PA      | $42802.98     | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139900 | PA      | $117924.90    | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1885000 | PA      | $1677992.62   | 0.39%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QP3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21438768 | PA      | $21142285.68  | 4.85%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    690291 | PA      | $566032.23    | 0.13%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15964 | PA      | $15932.67     | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418NYJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10129 | PA      | $10104.43     | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180KJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87529 | PA      | $82338.72     | 0.02%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35613 | PA      | $33896.74     | 0.01%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    889033 | PA      | $859436.35    | 0.20%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  36862929 | PA      | $29986527.81  | 6.88%             | 2053-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873582 | PA      | $849865.51    | 0.20%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                                 | CFK Trust, Series 2020-MF2, Class B                                                                                          | CUSIP: 12529AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810000 | PA      | $694639.31    | 0.16%             | 2039-03-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138X55F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44716 | PA      | $43927.00     | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36230UEK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129348 | PA      | $125213.13    | 0.03%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2017-30                                                 | CUSIP: 38379U7F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2245772 | PA      | $62375.43     | 0.01%             | 2058-08-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    633872 | PA      | $593283.98    | 0.14%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    587457 | PA      | $557163.94    | 0.13%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B20, Class XA                                                                          | CUSIP: 08162XBJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10997280 | PA      | $845574.27    | 0.19%             | 2053-10-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493645 | PA      | $443282.57    | 0.10%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6181 | PA      | $5802.37      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YD4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30089 | PA      | $28144.57     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3500000 | PA      | $384560.10    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312944SL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22737 | PA      | $21876.11     | 0.01%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101875 | PA      | $97099.84     | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179F7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67374 | PA      | $63359.77     | 0.01%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    558843 | PA      | $536520.54    | 0.12%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2019-521F, Class B                                                                         | CUSIP: 20048GAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    923000 | PA      | $811285.99    | 0.19%             | 2034-06-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WBZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453432 | PA      | $408526.81    | 0.09%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2012-GCJ9, Class C                                                                      | CUSIP: 36192PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51350 | PA      | $51122.42     | 0.01%             | 2045-11-10      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140MG6J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1168487 | PA      | $1069071.52   | 0.25%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA                                                                   | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10128089 | PA      | $725554.01    | 0.17%             | 2052-06-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YMXD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9951569 | PA      | $9197208.72   | 2.11%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    910999 | PA      | $808658.59    | 0.19%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178103 | PA      | $162049.35    | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74517 | PA      | $61919.71     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XDCB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    966047 | PA      | $917160.70    | 0.21%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XCSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360147 | PA      | $356063.74    | 0.08%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87930 | PA      | $84958.92     | 0.02%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20858 | PA      | $19504.20     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1667934 | PA      | $1555572.24   | 0.36%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134476 | PA      | $113353.64    | 0.03%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YRYV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1681236 | PA      | $1741475.88   | 0.40%             | 2052-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A                                                        | CUSIP: 054967AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427000 | PA      | $418923.98    | 0.10%             | 2034-09-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                   | Mosaic Solar Loan Trust, Series 2019-2A, Class A                                                                             | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95455 | PA      | $81993.85     | 0.02%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23151 | PA      | $22283.10     | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4971 | PA      | $4658.76      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-H3, Class B                                                                      | CUSIP: 61767YBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533004 | PA      | $467218.30    | 0.11%             | 2051-07-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class D                                               | CUSIP: 46652RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $340458.12    | 0.08%             | 2033-10-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167193 | PA      | $156344.37    | 0.04%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BUEC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90078 | PA      | $86129.22     | 0.02%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTMH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15269 | PA      | $14663.30     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14047 | PA      | $13473.71     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367451 | PA      | $334724.83    | 0.08%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2016-123, Class LM                                                          | CUSIP: 38380AEU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $416343.25    | 0.10%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258064 | PA      | $228607.66    | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13073 | PA      | $12235.64     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GNNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61527 | PA      | $58742.67     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70025 | PA      | $65658.65     | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135206 | PA      | $121065.02    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61247 | PA      | $59178.28     | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    619779 | PA      | $640937.27    | 0.15%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72246 | PA      | $69160.34     | 0.02%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y0PE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95867 | PA      | $91020.33     | 0.02%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2017-COR2, Class AM                                                                        | CUSIP: 12595EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296923 | PA      | $266655.47    | 0.06%             | 2050-09-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71622 | PA      | $67153.99     | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  18400000 | PA      | $-369376.63   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38281 | PA      | $36587.54     | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y0PD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125049 | PA      | $114902.76    | 0.03%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XHT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146580 | PA      | $143994.95    | 0.03%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6226 | PA      | $5943.60      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26187 | PA      | $25261.22     | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29471 | PA      | $30767.67     | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-149, Class IA                                                          | CUSIP: 38382KBL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15752485 | PA      | $2166473.87   | 0.50%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                        | BMO Mortgage Trust, Series 2022-C1, Class A5                                                                                 | CUSIP: 05609MCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71000 | PA      | $61606.15     | 0.01%             | 2055-02-17      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140KSS32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681533 | PA      | $561030.42    | 0.13%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140LQFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69334 | PA      | $57167.87     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30042 | PA      | $28773.01     | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104764 | PA      | $100222.36    | 0.02%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87823 | PA      | $84015.18     | 0.02%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391615 | PA      | $349324.35    | 0.08%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-22                                                 | CUSIP: 38379UGG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13162665 | PA      | $320066.00    | 0.07%             | 2055-11-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410GH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281879 | PA      | $290118.88    | 0.07%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -79065408 | PA      | $-74136465.72 | -17.02%           | 2053-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4460527 | PA      | $3761117.45   | 0.86%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4185 | PA      | $4044.96      | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617W0B27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1344289 | PA      | $1162715.28   | 0.27%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-VIEW, Class A                                                                                          | CUSIP: 05606GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780000 | PA      | $741974.92    | 0.17%             | 2036-06-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19057 | PA      | $18250.50     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418MRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665727 | PA      | $685529.55    | 0.16%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111944 | PA      | $99905.41     | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12132 | PA      | $11356.19     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19502 | PA      | $19279.96     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197379 | PA      | $205743.24    | 0.05%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X6SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875357 | PA      | $819931.47    | 0.19%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138A5WW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2522 | PA      | $2502.92      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WR6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82095 | PA      | $70984.77     | 0.02%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QSGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155911 | PA      | $152347.88    | 0.03%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36198QTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       804 | PA      | $779.82       | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767780 | PA      | $592827.91    | 0.14%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140M5FC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161963 | PA      | $137389.75    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y4DR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    956176 | PA      | $884459.31    | 0.20%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91196 | PA      | $87111.33     | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36203YH80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2 | PA      | $1.94         | 0.00%             | 2023-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439359 | PA      | $359499.21    | 0.08%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QPZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27287686 | PA      | $24812824.85  | 5.70%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357824 | PA      | $341189.72    | 0.08%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36177PPP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67395 | PA      | $63382.62     | 0.01%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321616 | PA      | $271101.76    | 0.06%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10979 | PA      | $10890.37     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank Of Canada                                                      | Royal Bank Of Canada                                                                                                         | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Short            | RA               | CORP              | CA        |  -9772496 | PA      | $-9772496.00  | -2.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XXAM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1255201 | PA      | $1165763.02   | 0.27%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-SUN, Class A                                                                     | CUSIP: 61691MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480000 | PA      | $1450264.43   | 0.33%             | 2035-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XDB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1438060 | PA      | $1328836.26   | 0.31%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K122, Class X1 | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3424560 | PA      | $177985.70    | 0.04%             | 2030-11-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QFZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707039 | PA      | $648735.92    | 0.15%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138Y8EH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152328 | PA      | $145722.02    | 0.03%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3257 | PA      | $3146.71      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662621 | PA      | $511946.35    | 0.12%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104202 | PA      | $103865.32    | 0.02%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4538 | PA      | $4243.04      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F5XW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886649 | PA      | $883783.33    | 0.20%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5924 | PA      | $5545.49      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411464 | PA      | $418456.16    | 0.10%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110263 | PA      | $103093.39    | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13343 | PA      | $12731.44     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138AUPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15175 | PA      | $15043.00     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180UFX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46586 | PA      | $43811.43     | 0.01%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158164 | PA      | $148317.20    | 0.03%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210287 | PA      | $191271.12    | 0.04%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2109000 | PA      | $-1850371.77  | -0.42%            | 2053-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69089 | PA      | $64780.71     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80948 | PA      | $79520.21     | 0.02%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24483 | PA      | $22918.71     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47279 | PA      | $43954.13     | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K120, Class X1 | CUSIP: 3137F72R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11367623 | PA      | $681368.50    | 0.16%             | 2030-10-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13266 | PA      | $12422.45     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590267 | PA      | $552549.67    | 0.13%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WR5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    769027 | PA      | $686195.88    | 0.16%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31987 | PA      | $30856.82     | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QGJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844587 | PA      | $774977.84    | 0.18%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72057 | PA      | $70591.88     | 0.02%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    687167 | PA      | $575989.50    | 0.13%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WR4R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1943862 | PA      | $1730887.46   | 0.40%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ELS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63569 | PA      | $66366.02     | 0.02%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QFBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440719 | PA      | $405207.25    | 0.09%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36181GFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237600 | PA      | $223515.19    | 0.05%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145008 | PA      | $148406.32    | 0.03%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117306 | PA      | $110123.72    | 0.03%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351938 | PA      | $346338.86    | 0.08%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176Q4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31315 | PA      | $29449.74     | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36177MZY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23912 | PA      | $22488.44     | 0.01%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XDCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    820414 | PA      | $777518.79    | 0.18%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88449 | PA      | $86888.30     | 0.02%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25000 | PA      | $25139.79     | 0.01%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F012619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -786100 | PA      | $-605069.24   | -0.14%            | 2053-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65969 | PA      | $65470.79     | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18037 | PA      | $17253.70     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574679 | PA      | $443999.89    | 0.10%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112119 | PA      | $111100.32    | 0.03%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28103 | PA      | $28132.95     | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-32                                                                        | CUSIP: 3136B9PX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1431295 | PA      | $273798.92    | 0.06%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022410<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2312900 | PA      | $-2116021.14  | -0.49%            | 2038-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12645 | PA      | $12074.97     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617B9SG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53486 | PA      | $50903.12     | 0.01%             | 2047-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class A                                               | CUSIP: 46652RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1325552.06   | 0.30%             | 2033-10-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1311933 | PA      | $1303660.94   | 0.30%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    663128 | PA      | $558967.19    | 0.13%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342090 | PA      | $302451.94    | 0.07%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445069 | PA      | $413152.56    | 0.09%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    607231 | PA      | $583250.36    | 0.13%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-CX12, Class A4                                                                  | CUSIP: 12595XAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $273028.10    | 0.06%             | 2051-08-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3350 | PA      | $3141.36      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37267 | PA      | $35343.99     | 0.01%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128621 | PA      | $123517.73    | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30206 | PA      | $28324.04     | 0.01%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    281537 | PA      | $269635.20    | 0.06%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134124 | PA      | $128219.08    | 0.03%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107753 | PA      | $103277.54    | 0.02%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L6AS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154648 | PA      | $128218.94    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158710 | PA      | $151889.33    | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11234 | PA      | $10740.22     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XCUF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3908821 | PA      | $3704484.96   | 0.85%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-115, Class IM                                                          | CUSIP: 38382HB41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1666600 | PA      | $238422.53    | 0.05%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2021-FCMT, Class A                                                             | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2180000 | PA      | $2048799.10   | 0.47%             | 2031-05-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C17, Class XA                                                                     | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7566172 | PA      | $531357.85    | 0.12%             | 2052-10-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31997 | PA      | $30800.84     | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13081 | PA      | $12576.04     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2017-61                                                 | CUSIP: 38379RSQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1722035 | PA      | $65941.04     | 0.02%             | 2059-05-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1387297 | PA      | $1235430.84   | 0.28%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-175, Class DI                                                          | CUSIP: 38382LLK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    809635 | PA      | $101058.74    | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179208 | PA      | $168225.52    | 0.04%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33345 | PA      | $33766.52     | 0.01%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YM6F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4695071 | PA      | $4449610.33   | 1.02%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8082 | PA      | $7808.82      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80864 | PA      | $75323.60     | 0.02%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KPWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21883642 | PA      | $20529929.10  | 4.71%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617FRFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4979855 | PA      | $4610735.78   | 1.06%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M4QU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58227 | PA      | $54600.75     | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235128 | PA      | $230549.83    | 0.05%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XBKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7033 | PA      | $6738.72      | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BFTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56506 | PA      | $55484.94     | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5426 | PA      | $5145.81      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BYFD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103468 | PA      | $98687.27     | 0.02%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hawaii Hotel Trust                                                        | Hawaii Hotel Trust, Series 2019-MAUI, Class A                                                                                | CUSIP: 41975AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97112.49     | 0.02%             | 2038-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24939 | PA      | $23412.47     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93495 | PA      | $87763.41     | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14792 | PA      | $13884.16     | 0.00%             | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QPZG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32228220 | PA      | $31260695.29  | 7.18%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F5XN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1958442 | PA      | $1970114.02   | 0.45%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204647 | PA      | $191344.01    | 0.04%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27595 | PA      | $26902.42     | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2011-8, Class ZA                                                               | CUSIP: 31397QJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757058 | PA      | $720792.13    | 0.17%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2057671 | PA      | $1792117.29   | 0.41%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F96R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2939801 | PA      | $2786296.51   | 0.64%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102049 | PA      | $92731.66     | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                               | Credit Suisse Mortgage Capital Certificates, Series 2021-980M, Class A                                                       | CUSIP: 12659RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $504272.04    | 0.12%             | 2031-07-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  21000000 | PA      | $-124489.83   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13470 | PA      | $13328.05     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416WSC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71656 | PA      | $71034.56     | 0.02%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517492 | PA      | $491529.21    | 0.11%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2006-30                                                                     | CUSIP: 38373MVL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279630 | PA      | $18.57        | 0.00%             | 2046-05-16      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44128 | PA      | $42212.63     | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    875114 | PA      | $757555.21    | 0.17%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-LBA, Class AJV                                                                                         | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $99801.17     | 0.02%             | 2036-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259629 | PA      | $243667.98    | 0.06%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692836 | PA      | $567742.05    | 0.13%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10898 | PA      | $10413.31     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                | BFLD Trust, Series 2020-EYP, Class A                                                                                         | CUSIP: 05493AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1984000 | PA      | $1884886.30   | 0.43%             | 2035-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2020-420K, Class B                                                               | CUSIP: 17328QAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $77910.32     | 0.02%             | 2042-11-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YRTR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2052010 | PA      | $1995738.98   | 0.46%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180E4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76762 | PA      | $72188.69     | 0.02%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140JAUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284212 | PA      | $284514.46    | 0.07%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   9100000 | PA      | $152720.74    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617X85X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3306025 | PA      | $3166117.71   | 0.73%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138A5V66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23582 | PA      | $23879.00     | 0.01%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52142 | PA      | $48886.36     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M96X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473008 | PA      | $458480.78    | 0.11%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F95L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2906068 | PA      | $2754137.28   | 0.63%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107484 | PA      | $103351.38    | 0.02%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88356 | PA      | $82680.34     | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K119, Class X1 | CUSIP: 3137F6GV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2355996 | PA      | $127360.93    | 0.03%             | 2030-09-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335AYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142183 | PA      | $127532.71    | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27053 | PA      | $25794.55     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15263 | PA      | $14723.98     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270921 | PA      | $281522.29    | 0.06%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384524 | PA      | $315949.15    | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36512 | PA      | $32830.56     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GVZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136165 | PA      | $133429.22    | 0.03%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72673 | PA      | $65117.52     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       479 | PA      | $477.63       | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119356 | PA      | $97533.44     | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1940 | PA      | $1818.29      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8407 | PA      | $7952.75      | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7312 | PA      | $7297.59      | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80484 | PA      | $75462.08     | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15170 | PA      | $14833.17     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKK61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61437 | PA      | $57442.44     | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y4DS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    469437 | PA      | $436005.28    | 0.10%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1049000 | PA      | $-1050890.86  | -0.24%            | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11500000 | PA      | $10445481.28  | 2.40%             | 2053-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323167 | PA      | $339137.52    | 0.08%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -21300000 | PA      | $-19973820.89 | -4.58%            | 2053-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    695409 | PA      | $595506.43    | 0.14%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32508 | PA      | $31258.68     | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9231 | PA      | $8820.64      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  12800000 | PA      | $77185.57     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1846622 | PA      | $1729706.24   | 0.40%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267574 | PA      | $220469.31    | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2971000 | PA      | $2571803.28   | 0.59%             | 2038-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11130 | PA      | $10622.98     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53365 | PA      | $49696.54     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617AXW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26551 | PA      | $25417.73     | 0.01%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HMP40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24237 | PA      | $23731.37     | 0.01%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67231 | PA      | $68157.31     | 0.02%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WCSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175187 | PA      | $168469.98    | 0.04%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546251 | PA      | $421723.51    | 0.10%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180485 | PA      | $168763.64    | 0.04%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1100000 | PA      | $79547.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1545234 | PA      | $1281146.50   | 0.29%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7640 | PA      | $7170.94      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11883 | PA      | $11405.65     | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XXAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    753965 | PA      | $700471.86    | 0.16%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138MKSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5703 | PA      | $5478.35      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179DLP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59372 | PA      | $55836.39     | 0.01%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312941KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15579 | PA      | $15461.47     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -18197000 | PA      | $-15404020.90 | -3.54%            | 2053-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64064 | PA      | $66778.67     | 0.02%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943JY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16140 | PA      | $15517.73     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88572 | PA      | $72720.33     | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159724 | PA      | $151043.83    | 0.03%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220286 | PA      | $185684.68    | 0.04%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34930 | PA      | $35370.89     | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y0PC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103301 | PA      | $95557.82     | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230793 | PA      | $216394.76    | 0.05%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9290 | PA      | $8837.84      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44493 | PA      | $41695.54     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21452115 | PA      | $18821426.26  | 4.32%             | 2053-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6663 | PA      | $6059.89      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36177Q3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24093 | PA      | $22658.54     | 0.01%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53985 | PA      | $51499.76     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22015 | PA      | $20024.51     | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -3900000 | PA      | $-1198.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592185 | PA      | $486582.86    | 0.11%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186444 | PA      | $175172.66    | 0.04%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108918 | PA      | $101838.12    | 0.02%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1097578 | PA      | $998659.68    | 0.23%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247347 | PA      | $231169.22    | 0.05%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178D7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33010 | PA      | $31044.21     | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31390MJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       662 | PA      | $665.09       | 0.00%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219158 | PA      | $205711.52    | 0.05%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K116, Class X1 | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1405016 | PA      | $113140.32    | 0.03%             | 2030-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2020-BN29, Class XA                                                                                             | CUSIP: 06541TBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2742460 | PA      | $203279.09    | 0.05%             | 2053-11-15      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22588 | PA      | $23582.30     | 0.01%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138E2GK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11369 | PA      | $11334.81     | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y5S59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7271116 | PA      | $6902210.36   | 1.58%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-185, Class MI                                                          | CUSIP: 38382LV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2920805 | PA      | $394653.36    | 0.09%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -2300000 | PA      | $-6129.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355303 | PA      | $366532.48    | 0.08%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -788000 | PA      | $-660214.18   | -0.15%            | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMQ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473182 | PA      | $434554.52    | 0.10%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F0GB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10046728 | PA      | $9288124.09   | 2.13%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49349 | PA      | $47833.19     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1988000 | PA      | $1992903.60   | 0.46%             | 2053-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                                                 | T-Fund, Institutional Class                                                                                                  | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |   4010268 | NS      | $4010267.88   | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128377 | PA      | $122816.69    | 0.03%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2189000 | PA      | $-2194399.39  | -0.50%            | 2053-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17981300 | PA      | $15065367.16  | 3.46%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KNL84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7813123 | PA      | $6399565.78   | 1.47%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class XA                                                                   | CUSIP: 12596GBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3003115 | PA      | $75925.36     | 0.02%             | 2051-11-15      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29655 | PA      | $30935.69     | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    660177 | PA      | $546114.76    | 0.13%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  82286100 | PA      | $69656361.16  | 15.99%            | 2053-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1952194 | PA      | $1647342.51   | 0.38%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43259 | PA      | $41287.98     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617FJZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11160818 | PA      | $9468802.95   | 2.17%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC Securities (USA), Inc.                                               | HSBC Securities (USA), Inc.                                                                                                  | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Short            | RA               | CORP              | US        | -27983657 | PA      | $-27983657.37 | -6.42%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253270 | PA      | $237691.63    | 0.05%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118074 | PA      | $108434.64    | 0.02%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -6900000 | PA      | $-171260.30   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240878 | PA      | $219169.60    | 0.05%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2684561 | PA      | $2196151.66   | 0.50%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F96H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    408581 | PA      | $380831.26    | 0.09%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XTVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207369 | PA      | $199411.81    | 0.05%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYSX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24433 | PA      | $22744.42     | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        82 | NC      | $-45183.69    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GRX74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48129 | PA      | $46079.91     | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416WP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18923 | PA      | $18759.18     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178WQH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20652 | PA      | $19283.27     | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  18900000 | PA      | $-300618.13   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    632762 | PA      | $488862.82    | 0.11%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193427 | PA      | $175992.88    | 0.04%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58222 | PA      | $48102.42     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172078 | PA      | $161144.55    | 0.04%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HJF71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32488 | PA      | $32190.70     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GJ5A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18259 | PA      | $17613.45     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210957 | PA      | $202539.99    | 0.05%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ARZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81938 | PA      | $81227.22     | 0.02%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30192 | PA      | $27459.97     | 0.01%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  19600000 | PA      | $-279034.99   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46501 | PA      | $43683.02     | 0.01%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   5600000 | PA      | $88607.46     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QQCZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22381583 | PA      | $21543501.84  | 4.95%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y4DJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1925002 | PA      | $1771173.47   | 0.41%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335CCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58138 | PA      | $58307.79     | 0.01%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J6D20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272804 | PA      | $269324.21    | 0.06%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31419DFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9222 | PA      | $9076.08      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QP2R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22303203 | PA      | $21585340.54  | 4.95%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25976 | PA      | $24827.46     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Ultra Note                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -31 | NC      | $40521.45     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140MGG62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57371 | PA      | $47208.76     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11327 | PA      | $10558.00     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74741 | PA      | $72989.12     | 0.02%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2014-107, Class WX                                      | CUSIP: 38379C6M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    590782 | PA      | $614528.27    | 0.14%             | 2039-07-20      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F95E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460212 | PA      | $438733.19    | 0.10%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    835274 | PA      | $746339.21    | 0.17%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130599 | PA      | $129450.17    | 0.03%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNCJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6132570 | PA      | $5013681.98   | 1.15%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109721 | PA      | $108514.62    | 0.02%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131707 | PA      | $130565.15    | 0.03%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36181FEB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64085 | PA      | $60268.14     | 0.01%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1881 | PA      | $1808.69      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246464 | PA      | $235004.29    | 0.05%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220245 | PA      | $217816.42    | 0.05%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121226 | PA      | $116241.74    | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-146, Class DI                                                          | CUSIP: 38382KWB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2431240 | PA      | $313704.86    | 0.07%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F4WT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5814550 | PA      | $5172127.77   | 1.19%             | 2048-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4187927 | PA      | $3632663.55   | 0.83%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36182XAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10085 | PA      | $9716.23      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -26611000 | PA      | $-26217726.94 | -6.02%            | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1372660 | PA      | $1299235.59   | 0.30%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -4000000 | PA      | $-186063.45   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7310 | PA      | $7295.23      | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-162, Class TI                                                          | CUSIP: 38382KPG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4198584 | PA      | $536025.67    | 0.12%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119947 | PA      | $98518.38     | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22570 | PA      | $21164.54     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20160 | PA      | $18900.90     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390989 | PA      | $365400.54    | 0.08%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QPQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29705414 | PA      | $28887169.26  | 6.63%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98696 | PA      | $92651.32     | 0.02%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172995 | PA      | $157402.41    | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41171 | PA      | $42136.60     | 0.01%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032419<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1018000 | PA      | $-973804.65   | -0.22%            | 2038-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88886 | PA      | $83116.12     | 0.02%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36181GFS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90179 | PA      | $84810.06     | 0.02%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113680 | PA      | $107352.24    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7315 | PA      | $6940.18      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38043 | PA      | $36013.59     | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204938 | PA      | $196301.76    | 0.05%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association ACES Variable Rate Notes, Series 2020-M21, Class AX                                    | CUSIP: 3136B9L70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3248080 | PA      | $434901.14    | 0.10%             | 2058-01-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030413<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1562977 | PA      | $-1463796.09  | -0.34%            | 2038-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1005567 | PA      | $819523.56    | 0.19%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2021-TY, Class A                                                                                           | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1526000 | PA      | $1437624.00   | 0.33%             | 2038-09-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121718 | PA      | $113820.08    | 0.03%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9QK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    474196 | PA      | $484791.96    | 0.11%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617Y0PA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155082 | PA      | $143451.32    | 0.03%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27466 | PA      | $28652.04     | 0.01%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QFBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433044 | PA      | $397392.05    | 0.09%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22991 | PA      | $23364.86     | 0.01%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14666 | PA      | $14538.52     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -155000 | PA      | $-153563.03   | -0.04%            | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    803250 | PA      | $677093.02    | 0.16%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFNL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3542527 | PA      | $2890371.16   | 0.66%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DKD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27322 | PA      | $25508.89     | 0.01%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JNVH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33691 | PA      | $32744.35     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QTHA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47792 | PA      | $47002.58     | 0.01%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XXAN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1561359 | PA      | $1444253.79   | 0.33%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H9CT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39464 | PA      | $38740.66     | 0.01%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36177YDZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53597 | PA      | $50405.13     | 0.01%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YGYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54494 | PA      | $50979.74     | 0.01%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31329KXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151020 | PA      | $140085.94    | 0.03%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QEP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1366156 | PA      | $1276007.21   | 0.29%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-159, Class IH                                                          | CUSIP: 38382XT70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8665934 | PA      | $1175960.30   | 0.27%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XCQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197055 | PA      | $193411.02    | 0.04%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71224 | PA      | $66784.01     | 0.02%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-127, Class IA                                                          | CUSIP: 38383UDV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7134326 | PA      | $1242387.29   | 0.29%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20642000 | PA      | $19355176.48  | 4.44%             | 2053-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417FR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1028980 | PA      | $936235.66    | 0.21%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31135 | PA      | $28994.60     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class XA                                                             | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2468696 | PA      | $204529.22    | 0.05%             | 2054-04-15      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2018-BILT, Class A                                                                                          | CUSIP: 05606JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282000 | PA      | $273486.22    | 0.06%             | 2030-05-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179DEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140051 | PA      | $131711.99    | 0.03%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1126000 | PA      | $1083500.58   | 0.25%             | 2053-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QGKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110435 | PA      | $103642.46    | 0.02%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36183AF47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10916 | PA      | $10546.41     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L6BB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99198 | PA      | $82060.86     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157019 | PA      | $159683.51    | 0.04%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27025 | PA      | $25310.80     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1312457 | PA      | $1251464.39   | 0.29%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27834 | PA      | $26083.64     | 0.01%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24054 | PA      | $22600.10     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377155 | PA      | $332767.05    | 0.08%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36177Q6Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41739 | PA      | $39253.87     | 0.01%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60500 | PA      | $55047.37     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTER9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27210 | PA      | $25952.62     | 0.01%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -3900000 | PA      | $-465999.66   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17569 | PA      | $15985.66     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617F95U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2745471 | PA      | $2559012.32   | 0.59%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307MYH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142466 | PA      | $136454.64    | 0.03%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57042 | PA      | $53335.34     | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99952 | PA      | $91049.10     | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36185 | PA      | $33698.39     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-30HY, Class D                                                                       | CUSIP: 44421GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526000 | PA      | $396842.75    | 0.09%             | 2039-07-10      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -76771000 | PA      | $-73873377.64 | -16.96%           | 2053-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YM5D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216616 | PA      | $201910.68    | 0.05%             | 2041-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYSR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195065 | PA      | $181651.32    | 0.04%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8856 | PA      | $8838.35      | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QP2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2304717 | PA      | $2095940.23   | 0.48%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3000000 | PA      | $13113.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31740 | PA      | $30472.53     | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418QGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3164 | PA      | $3157.48      | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    956550 | PA      | $877649.20    | 0.20%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618AGXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1040354 | PA      | $1088294.81   | 0.25%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178231 | PA      | $171529.57    | 0.04%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298506 | PA      | $245270.19    | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31412PG70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42964 | PA      | $42552.74     | 0.01%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618AGXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1347351 | PA      | $1393201.61   | 0.32%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7301 | PA      | $6550.81      | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QP2L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  51190471 | PA      | $48019105.86  | 11.02%            | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12252 | PA      | $11739.74     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411397 | PA      | $352937.57    | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56007 | PA      | $55423.11     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554144 | PA      | $503866.24    | 0.12%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234051 | PA      | $228460.38    | 0.05%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2070376 | PA      | $1745165.32   | 0.40%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KSG4, Class A2                     | CUSIP: 3137H92X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4560080.50   | 1.05%             | 2032-08-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63093 | PA      | $59218.68     | 0.01%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VSL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513434 | PA      | $503988.68    | 0.12%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53650 | PA      | $50220.23     | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19354 | PA      | $18513.43     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE2B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69717 | PA      | $65445.11     | 0.02%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180E5C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81558 | PA      | $76722.36     | 0.02%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36198QTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14672 | PA      | $14175.21     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   9200000 | PA      | $189308.43    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2208379 | PA      | $1916361.41   | 0.44%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119285 | PA      | $113787.71    | 0.03%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180DPF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58744 | PA      | $55262.01     | 0.01%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140MJW84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1344924 | PA      | $1229744.12   | 0.28%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133AXXW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1170067 | PA      | $1000616.16   | 0.23%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XDJY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102548 | PA      | $100651.15    | 0.02%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39839 | PA      | $38309.34     | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32401 | PA      | $31150.33     | 0.01%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617YM5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737851 | PA      | $687739.75    | 0.16%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31401CSR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58152 | PA      | $59028.29     | 0.01%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                   | Mosaic Solar Loan Trust, Series 2022-3A, Class A                                                                             | CUSIP: 61946KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    960000 | PA      | $957331.58    | 0.22%             | 2053-06-20      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1509715 | PA      | $1363482.62   | 0.31%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40113 | PA      | $37386.88     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    525892 | PA      | $545909.08    | 0.13%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    789319 | PA      | $647084.31    | 0.15%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2021-BHAR, Class A                                                                                        | CUSIP: 12659VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1115426.64   | 0.26%             | 2038-11-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20887 | PA      | $19820.03     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class XA                                                       | CUSIP: 03881BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    995315 | PA      | $50467.63     | 0.01%             | 2053-05-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11383 | PA      | $11303.01     | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    876153 | PA      | $750226.00    | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YBX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96321 | PA      | $92139.62     | 0.02%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    361333 | PA      | $337342.36    | 0.08%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13509 | PA      | $12667.32     | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank Of Canada                                                      | Royal Bank Of Canada                                                                                                         | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Short            | RA               | CORP              | CA        |  -1526279 | PA      | $-1526279.10  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24764 | PA      | $24577.08     | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31933 | PA      | $30596.78     | 0.01%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140KSS40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    744006 | PA      | $636258.02    | 0.15%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20109 | PA      | $19235.40     | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1836000 | PA      | $-1737034.90  | -0.40%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29015 | PA      | $27190.64     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151807 | PA      | $135192.96    | 0.03%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95425 | PA      | $90011.11     | 0.02%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231455 | PA      | $216904.15    | 0.05%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98708 | PA      | $92296.85     | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4829 | PA      | $4520.39      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148889 | PA      | $142981.76    | 0.03%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J9Y96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70280 | PA      | $70368.64     | 0.02%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -42329213 | PA      | $-38447739.30 | -8.83%            | 2053-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18085 | PA      | $17301.99     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137647 | PA      | $125239.70    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -4000000 | PA      | $-61492.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617WR4P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1220897 | PA      | $1090149.86   | 0.25%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EXEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44212 | PA      | $43724.47     | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNCN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2141904 | PA      | $1826080.38   | 0.42%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133A04K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181303 | PA      | $166914.14    | 0.04%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38405 | PA      | $35916.92     | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51359 | PA      | $48130.66     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465207 | PA      | $384829.55    | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNCH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4231662 | PA      | $3464501.98   | 0.80%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143322 | PA      | $117221.46    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180DVB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32465 | PA      | $30530.49     | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92369 | PA      | $86602.38     | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN33, Class XA                                                                                             | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9636806 | PA      | $562256.53    | 0.13%             | 2064-05-15      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169035 | PA      | $162346.54    | 0.04%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank Of Canada                                                      | Royal Bank Of Canada                                                                                                         | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Short            | RA               | CORP              | CA        | -24822764 | PA      | $-24822764.12 | -5.70%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417SJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86116 | PA      | $87413.32     | 0.02%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BJRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83049 | PA      | $79211.77     | 0.02%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60600 | PA      | $57739.90     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617W0B43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1611318 | PA      | $1440688.09   | 0.33%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQL66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189847 | PA      | $181849.56    | 0.04%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -11500000 | PA      | $-10450422.72 | -2.40%            | 2053-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTGM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92187 | PA      | $87958.05     | 0.02%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29904 | PA      | $28123.33     | 0.01%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-31

**Name of Applicant:** BlackRock Funds V

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer