# EDGAR Filing Document

**Accession Number:** 0000764624
**File Stem:** 0000940400-26-007244
**Filing Date:** 2026-2
**Character Count:** 194249
**Document Hash:** 98fb445b0641f76db137547735dfe8f1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-007244.hdr.sgml**: 20260223

**ACCESSION NUMBER**: 0000940400-26-007244

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260223

**DATE AS OF CHANGE**: 20260223

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LEGG MASON PARTNERS INCOME TRUST
- **CENTRAL INDEX KEY:** 0000764624

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04254
- **FILM NUMBER:** 26664689

**BUSINESS ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 1-877-721-1926

**MAIL ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LEGG MASON PARTNERS INCOME FUNDS
- **DATE OF NAME CHANGE:** 20060407

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SMITH BARNEY INCOME FUNDS
- **DATE OF NAME CHANGE:** 19941228

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SMITH BARNEY SHEARSON INCOME FUNDS
- **DATE OF NAME CHANGE:** 19931015

## Series and Classes Contracts Data

### Western Asset Mortgage Total Return Fund (Series ID: S000016649)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000046506 | Class A      | SGVAX           |
| C000046508 | Class C1     | SGSLX           |
| C000046509 | Class I      | SGSYX           |
| C000046510 | Class 1      | SGVSX           |
| C000088509 | Class C      | LWMSX           |
| C000118880 | Class IS     | LMBSX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Legg Mason Partners Income Trust

- **b. Investment Company Act file number:** 811-04254

- **c. CIK number of Registrant:** 0000764624

- **d. LEI of Registrant:** 549300Y1U2UCLTK83X35

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-877-656-3863

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

- **a. Name of Series:** Western Asset Mortgage Total Return Fund

- **b. EDGAR series identifier (if any):** S000016649

- **c. LEI of Series:** 549300GQXDFRVF4XT215

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**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:** $576525482.11

**Total Liabilities:** $224583786.59

**Net Assets:** $351941695.52

**Stand-by Commitments:** $175283705.23

**Cash Not Reported:** $1008023.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 174.58000000 | **1-Year:** 22379.09000000 | **5-Year:** 126969.86000000 | **10-Year:** 44276.16000000 | **30-Year:** 2489.83000000

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

- **3-Month:** 208.16000000 | **1-Year:** 6068.45000000 | **5-Year:** 10116.76000000 | **10-Year:** 7169.20000000 | **30-Year:** 709.53000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000046506 | 0.41%                | 1.01%                | -0.17%               |
| Class ID C000046508 | 0.23%                | 0.95%                | -0.24%               |
| Class ID C000046509 | 0.44%                | 0.92%                | -0.02%               |
| Class ID C000046510 | 0.44%                | 1.03%                | -0.14%               |
| Class ID C000088509 | 0.36%                | 0.95%                | -0.23%               |
| Class ID C000118880 | 0.45%                | 1.04%                | -0.13%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1741527.05             | $1724617.38                                |
| Month 2  | $-127222.89              | $1882928.07                                |
| Month 3  | $-643012.98              | $-1311717.64                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Mortgage Backed Securities

- **Index Identifier:** NA

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5YR NOTE (CBT)                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         9 | NC      | $546.93       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ARBOR REALTY SR INC                                     | Arbor Realty SR Inc                                                   | CUSIP: 03881NAJ6<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |    690000 | PA      | $660194.50    | 0.19%             | 2030-07-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2023-1                                                          | CUSIP: 75973HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1341862 | PA      | $1321801.16   | 0.38%             | 2058-11-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                 | CUSIP: 3132L6ZW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1851493 | PA      | $1823503.83   | 0.52%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379U5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6984325 | PA      | $220368.01    | 0.06%             | 2058-10-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BBYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1411194 | PA      | $162502.67    | 0.05%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FRK34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1266872 | PA      | $149883.49    | 0.04%             | 2050-03-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -4500000 | PA      | $-3638653.97  | -1.03%            | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $3638653.97   | 1.03%             | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381H8D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1970119 | PA      | $103691.51    | 0.03%             | 2064-06-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378NF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    910690 | PA      | $21010.35     | 0.01%             | 2055-09-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132ADGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    604495 | PA      | $574879.54    | 0.16%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7500000 | PA      | $6910839.83   | 1.96%             | 2056-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    529965 | PA      | $516833.40    | 0.15%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H3WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4567913 | PA      | $621754.14    | 0.18%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                           | Sierra Timeshare 2024-2 Receivables Funding LLC                       | CUSIP: 82650DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1111648 | PA      | $1127372.97   | 0.32%             | 2041-06-20      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380CK51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2659854 | PA      | $540829.96    | 0.15%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1069449 | PA      | $55291.58     | 0.02%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101187 | PA      | $105289.92    | 0.03%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6074953 | PA      | $53141.86     | 0.02%             | 2028-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380PCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6353767 | PA      | $373814.35    | 0.11%             | 2062-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382M5G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4203956 | PA      | $733122.88    | 0.21%             | 2051-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B0UH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3259681 | PA      | $648993.94    | 0.18%             | 2048-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -8500000 | PA      | $-7859511.66  | -2.23%            | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XQQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18807781 | PA      | $16430752.99  | 4.67%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136A22Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161303 | PA      | $202602.08    | 0.06%             | 2038-01-25      | Variable      | 11.97%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1339411 | PA      | $813027.18    | 0.23%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2021-1 Trust                                                | CUSIP: 38217UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    498851 | PA      | $364755.78    | 0.10%             | 2056-10-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| ONNI Commercial Mortgage Trust                          | ONNI Commerical Mortgage Trust 2024-APT                               | CUSIP: 682939AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1242313.20   | 0.35%             | 2039-07-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3620AL7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91285 | PA      | $93844.14     | 0.03%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FUNG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3794998 | PA      | $2311039.50   | 0.66%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2024-R01                          | CUSIP: 20753UAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1058501.00   | 0.30%             | 2044-01-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401675 | PA      | $343679.86    | 0.10%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F74L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2566957 | PA      | $345771.47    | 0.10%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $7859511.66   | 2.23%             | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132DTDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1883810 | PA      | $1867601.12   | 0.53%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381HDN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800000 | PA      | $433831.20    | 0.12%             | 2063-10-16      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BN3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668636 | PA      | $643307.67    | 0.18%             | 2052-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136ABQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110314 | PA      | $117702.55    | 0.03%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FPWG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3523991 | PA      | $2657180.25   | 0.76%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP                                    | AGNC Investment Corp                                                  | CUSIP: 00123Q872<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     76437 | NS      | $1875763.98   | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136A6X74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752802 | PA      | $101287.37    | 0.03%             | 2042-07-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136B4C71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10678102 | PA      | $281429.38    | 0.08%             | 2029-06-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380L7G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6668939 | PA      | $284222.83    | 0.08%             | 2070-04-01      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617Q0FV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    610092 | PA      | $591860.04    | 0.17%             | 2050-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381DZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1225620 | PA      | $78526.56     | 0.02%             | 2061-06-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466361 | PA      | $442835.11    | 0.13%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                                | Dividend Solar Loans 2019-1 LLC                                       | CUSIP: 255388AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    894125 | PA      | $834635.53    | 0.24%             | 2039-08-22      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H0YV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1943643 | PA      | $241066.88    | 0.07%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38385D3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9462967 | PA      | $830624.25    | 0.24%             | 2055-03-20      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    499056 | PA      | $444456.10    | 0.13%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140QKDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261763 | PA      | $235168.94    | 0.07%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                          | Structured Asset Securities Corp Mortgage Loan Trust 2006-ARS1        | CUSIP: 86358LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1347685 | PA      | $23621.54     | 0.01%             | 2036-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3620E0DH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    512416 | PA      | $521529.95    | 0.15%             | 2060-06-20      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FXSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15237351 | PA      | $2457057.90   | 0.70%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135495 | PA      | $117589.36    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                             | Extended Stay America Trust 2025-ESH                                  | CUSIP: 30227TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $907885.80    | 0.26%             | 2042-10-15      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7114121 | PA      | $981047.96    | 0.28%             | 2048-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves | Western Asset Premier Institutional Government Reserves               | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |   4223828 | NS      | $4223828.47   | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Thrust Engine Leasing                                   | Thrust Engine Leasing 2021 DAC                                        | CUSIP: 88603UAA7<br>LEI: 254900X0E0PUM0VQBP74 | Long             | ABS-O            | CORP              | US        |   1083808 | PA      | $1070445.69   | 0.30%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H1RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6281931 | PA      | $851491.24    | 0.24%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE                          | Multifamily Connecticut Avenue Securities Trust 2020-01               | CUSIP: 62548QAF8<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2337864.75   | 0.66%             | 2050-03-25      | Floating      | 11.49%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FUWV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1867304 | PA      | $275829.91    | 0.08%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                               | College Ave Student Loans 2021-C LLC                                  | CUSIP: 19424WAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1359890 | PA      | $1290174.17   | 0.37%             | 2055-07-26      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2024-VLT4                                                    | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1199689.08   | 0.34%             | 2041-06-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378KQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6925409 | PA      | $140509.62    | 0.04%             | 2047-11-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177403 | PA      | $182496.52    | 0.05%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    924102 | PA      | $903777.72    | 0.26%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                          | JPMDB Commercial Mortgage Securities Trust 2017-C7                    | CUSIP: 46648KAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $399198.49    | 0.11%             | 2050-10-15      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319932 | PA      | $299397.05    | 0.09%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                            | Sunnova Hestia I Issuer LLC                                           | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1902511 | PA      | $1906254.50   | 0.54%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                            | TICP CLO VII Ltd                                                      | CUSIP: 87248TAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005746.10   | 0.29%             | 2033-04-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380RTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2814965 | PA      | $2165732.53   | 0.62%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6964223 | PA      | $5279339.51   | 1.50%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150155 | PA      | $150986.78    | 0.04%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31396QRA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167697 | PA      | $169986.08    | 0.05%             | 2039-08-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Hartwick Park CLO, Ltd.                                 | Hartwick Park CLO Ltd                                                 | CUSIP: 417402AE4<br>LEI: 2549003E1ZAWJG55NM75 | Long             | ABS-CBDO         | CORP              | JE        |    590000 | PA      | $584957.62    | 0.17%             | 2037-01-20      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H9ZX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21027727 | PA      | $407782.29    | 0.12%             | 2033-04-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84788 | PA      | $80916.68     | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383ASM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4163113 | PA      | $648999.27    | 0.18%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50454 | PA      | $48141.21     | 0.01%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2024-1                                     | CUSIP: 92540EAD5<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1666684.14   | 0.47%             | 2069-01-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2022-1                                                      | CUSIP: 38218JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     75078 | PA      | $74059.75     | 0.02%             | 2056-10-15      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F9Y21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4044605 | PA      | $569690.23    | 0.16%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2226272 | PA      | $154331.65    | 0.04%             | 2063-11-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    954285 | PA      | $106840.26    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617B83A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375964 | PA      | $346745.49    | 0.10%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382X4G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6491441 | PA      | $927464.00    | 0.26%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -8600000 | PA      | $-7271703.17  | -2.07%            | 2056-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2663028 | PA      | $2377325.52   | 0.68%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8600000 | PA      | $7271703.17   | 2.07%             | 2056-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2024-1                                                          | CUSIP: 75973VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1152076 | PA      | $1160112.27   | 0.33%             | 2059-11-20      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1200000 | PA      | $1097915.40   | 0.31%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133AJ6U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349856 | PA      | $288705.96    | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39568128 | PA      | $1100128.49   | 0.31%             | 2034-01-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179WDG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    410395 | PA      | $334878.21    | 0.10%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59112 | PA      | $50687.85     | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4600000 | PA      | $4684992.18   | 1.33%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17046939 | PA      | $285926.61    | 0.08%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Wave USA                                                | WAVE 2019-1 LLC                                                       | CUSIP: 94354KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288556 | PA      | $283581.54    | 0.08%             | 2044-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Sesac Finance                                           | Sesac Finance LLC                                                     | CUSIP: 78396YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1375500 | PA      | $1398689.28   | 0.40%             | 2054-01-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136B9J99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4937920 | PA      | $396250.81    | 0.11%             | 2037-01-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137B1W73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3575473 | PA      | $3020936.21   | 0.86%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    798675 | PA      | $827735.12    | 0.24%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H2TB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    835506 | PA      | $122094.71    | 0.03%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400964 | PA      | $399875.87    | 0.11%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                     | Hotwire Funding LLC                                                   | CUSIP: 44148JAM1<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $778993.50    | 0.22%             | 2054-06-20      | Fixed         | 9.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31396Q3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437730 | PA      | $449209.53    | 0.13%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                        | Trinitas CLO XIX Ltd                                                  | CUSIP: 89642FAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    830000 | PA      | $833819.00    | 0.24%             | 2033-10-20      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2003-AR5 Trust         | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12383 | PA      | $12394.01     | 0.00%             | 2033-06-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| ONE Park Mortgage Trust                                 | ONE 2021-PARK Mortgage Trust                                          | CUSIP: 682413AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1744837.85   | 0.50%             | 2036-03-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 2YR NOTE (CBT)                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -218 | NC      | $26872.86     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Securitized Participation Interests Trust 2017-SPI1 | CUSIP: 3137G1CG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1788500 | PA      | $1308425.72   | 0.37%             | 2047-09-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1019179.69   | 0.29%             | 2056-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2021-C59                        | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12149562 | PA      | $681988.93    | 0.19%             | 2054-04-15      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132DN5A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2597466 | PA      | $2621690.19   | 0.74%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520804 | PA      | $529789.95    | 0.15%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150799 | PA      | $141056.58    | 0.04%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2020-A                               | CUSIP: 78449UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1885647.60   | 0.54%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2020-1 Trust                                                | CUSIP: 38217TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1659546 | PA      | $1291390.02   | 0.37%             | 2055-04-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                           | Carnival Corp                                                         | CUSIP: 143658CB6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    900000 | PA      | $910430.51    | 0.26%             | 2029-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3138WPG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    813198 | PA      | $752002.44    | 0.21%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382VNB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2494870 | PA      | $416823.91    | 0.12%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31398G4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153209 | PA      | $19541.74     | 0.01%             | 2040-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Blue Stream Issuer, LLC                                 | Blue Stream Issuer LLC                                                | CUSIP: 09606BAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1572878.40   | 0.45%             | 2054-11-20      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitiza                          | Castlelake Aircraft Structured Trust 2021-1                           | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71918 | PA      | $71330.60     | 0.02%             | 2046-01-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                  | Full House Resorts Inc                                                | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1047000.00   | 0.30%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp                          | AMMC CLO 30 Ltd                                                       | CUSIP: 03165UAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $755436.08    | 0.21%             | 2037-01-15      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                            | Huntington Bank Auto Credit-Linked Notes Series 2024-2                | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000545 | PA      | $1013109.25   | 0.29%             | 2032-10-20      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| SMRT                                                    | SMRT 2022-MINI                                                        | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1380624.98   | 0.39%             | 2039-01-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    720026 | PA      | $593952.92    | 0.17%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRES Commercial Mortgage Trust                          | BRES Commercial Mortgage Trust 2025-ATCAP                             | CUSIP: 05619GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1259476.38   | 0.36%             | 2042-11-15      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                          | GoodLeap Sustainable Home Solutions Trust 2021-5                      | CUSIP: 38237HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1372662 | PA      | $519123.84    | 0.15%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3500000 | PA      | $3185681.42   | 0.91%             | 2056-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617B9A63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2557300 | PA      | $2358549.12   | 0.67%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $11969062.56  | 3.40%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168943 | PA      | $31912.92     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B45U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2476552 | PA      | $1791557.22   | 0.51%             | 2049-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135073 | PA      | $117009.52    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ExteNet Systems                                         | ExteNet Issuer LLC                                                    | CUSIP: 30227XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1013944.50   | 0.29%             | 2054-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FPHB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2405387 | PA      | $338028.83    | 0.10%             | 2049-10-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378YJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    686498 | PA      | $142728.96    | 0.04%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H6V44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2800000 | PA      | $2124430.28   | 0.60%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382VLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9215640 | PA      | $1276590.94   | 0.36%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization                          | AASET 2025-1                                                          | CUSIP: 00258PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1125350 | PA      | $1149249.90   | 0.33%             | 2050-02-16      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    947825 | PA      | $154262.91    | 0.04%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378K2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1589693 | PA      | $26179.54     | 0.01%             | 2051-09-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3620AMA44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183613 | PA      | $188554.50    | 0.05%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5500000 | PA      | $4556384.36   | 1.29%             | 2056-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315320 | PA      | $300922.97    | 0.09%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2024-2                                                          | CUSIP: 75975DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    828638 | PA      | $833322.39    | 0.24%             | 2060-11-20      | Fixed         | 8.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XPZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243970 | PA      | $242570.79    | 0.07%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382EG84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    887757 | PA      | $165704.86    | 0.05%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                               | Stonepeak 2021-1 ABS                                                  | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    943655 | PA      | $924968.07    | 0.26%             | 2033-02-28      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                                | CHS/Community Health Systems Inc                                      | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    270000 | PA      | $240556.50    | 0.07%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380QDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47691 | PA      | $47451.87     | 0.01%             | 2070-07-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2019-FAME                | CUSIP: 63873VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2077000 | PA      | $801236.61    | 0.23%             | 2036-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz                          | NRM FHT1 Excess Owner LLC                                             | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    798256 | PA      | $807601.60    | 0.23%             | 2032-03-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                        | Ocean Trails CLO XIV Ltd                                              | CUSIP: 67515MAG3<br>LEI: 254900TWRKR5CRS1OX19 | Long             | ABS-CBDO         | CORP              | JE        |    900000 | PA      | $908842.50    | 0.26%             | 2038-01-20      | Floating      | 10.22%                | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                             | Balboa Bay Loan Funding 2024-2 Ltd                                    | CUSIP: 05765BAA7<br>LEI: 254900FG1DS8PNX30R63 | Long             | ABS-CBDO         | CORP              | KY        |    790000 | PA      | $797776.44    | 0.23%             | 2038-01-20      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2014-1                            | CUSIP: 64828AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312700 | PA      | $305505.37    | 0.09%             | 2054-01-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                 | Royal Caribbean Cruises Ltd                                           | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    820000 | PA      | $848793.21    | 0.24%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGNQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9293334 | PA      | $1282993.03   | 0.36%             | 2047-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                          | Morgan Stanley Mortgage Loan Trust 2006-8AR                           | CUSIP: 61749LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28112 | PA      | $5060.07      | 0.00%             | 2036-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380PTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11451766 | PA      | $926842.98    | 0.26%             | 2062-04-16      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    939221 | PA      | $864272.49    | 0.25%             | 2057-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BDCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1680389 | PA      | $267571.77    | 0.08%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7         | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2143234 | PA      | $1779815.84   | 0.51%             | 2028-05-15      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                             | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344632 | PA      | $351628.11    | 0.10%             | 2050-02-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BH3Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4801880 | PA      | $670218.13    | 0.19%             | 2048-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210690 | PA      | $217033.14    | 0.06%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63365 | PA      | $51868.86     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    939117 | PA      | $140488.64    | 0.04%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                      | Expand Energy Corp                                                    | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1085440.30   | 0.31%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE                                          | RIDE 2025-SHRE                                                        | CUSIP: 765692AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $379114.28    | 0.11%             | 2047-02-14      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                          | MSWF Commercial Mortgage Trust 2023-1                                 | CUSIP: 55376CBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1939000 | PA      | $1435921.99   | 0.41%             | 2056-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H4C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14654750 | PA      | $367265.63    | 0.10%             | 2031-10-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 31424U8E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3844566 | PA      | $853407.69    | 0.24%             | 2053-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JPMCC Commercial Mortgage Securities Trust 2019-COR5                  | CUSIP: 46591EAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14112739 | PA      | $504941.09    | 0.14%             | 2052-06-13      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    224132 | PA      | $225516.26    | 0.06%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                          | MASTR Adjustable Rate Mortgages Trust 2006-OA1                        | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210149 | PA      | $197863.17    | 0.06%             | 2046-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B5UN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1484818 | PA      | $171165.81    | 0.05%             | 2049-08-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2017-1                            | CUSIP: 64829JBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908880 | PA      | $856386.65    | 0.24%             | 2057-02-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential 2024-SFR1 Trust                                  | CUSIP: 74331QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $961717.10    | 0.27%             | 2041-02-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Pear LLC                                                | Pear 2024-1 LLC                                                       | CUSIP: 704933AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    595322 | PA      | $602366.52    | 0.17%             | 2036-02-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20200000 | PA      | $20743051.14  | 5.89%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                      | Aqua Finance Trust 2020-A                                             | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1645598 | PA      | $1597680.79   | 0.45%             | 2046-07-17      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    479624 | PA      | $418706.34    | 0.12%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179V6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    469119 | PA      | $380473.71    | 0.11%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                                             | BXHPP Trust 2021-FILM                                                 | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2207000 | PA      | $2071252.51   | 0.59%             | 2036-08-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp II                                        | CUSIP: 36269JAL2<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   2015000 | PA      | $2095179.27   | 0.60%             | 2041-03-10      | Variable      | 8.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-HQA3                                     | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | CORP              | US        |    860000 | PA      | $963317.82    | 0.27%             | 2049-09-25      | Floating      | 11.49%                | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2024-RTL1                         | CUSIP: 64831PAB1<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1256754.75   | 0.36%             | 2039-03-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    958120 | PA      | $914643.49    | 0.26%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11359382 | PA      | $276146.58    | 0.08%             | 2031-08-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                                       | MFA Financial Inc                                                     | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     52662 | NS      | $1201746.84   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383D7E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3681167 | PA      | $680865.34    | 0.19%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Multifamily Trust                                       | Multifamily Trust 2016-1                                              | CUSIP: 62547L103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468867 | PA      | $458738.51    | 0.13%             | 2046-04-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381JZQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7836141 | PA      | $339072.98    | 0.10%             | 2063-09-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    732655 | PA      | $727752.77    | 0.21%             | 2070-07-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BDVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4814002 | PA      | $703911.08    | 0.20%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FUXW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9611123 | PA      | $1446484.56   | 0.41%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing III LLC                                       | CUSIP: 42806MCG2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1846218.15   | 0.52%             | 2030-03-25      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MYQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    898974 | PA      | $850154.47    | 0.24%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                      | Tricon Residential 2024-SFR4 Trust                                    | CUSIP: 895975AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170000 | PA      | $1166300.69   | 0.33%             | 2041-11-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3138WTZS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1869064 | PA      | $1830323.70   | 0.52%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2017-RPL3 Trust                                                  | CUSIP: 12651YAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1136888 | PA      | $1115769.05   | 0.32%             | 2057-08-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380RSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1112872 | PA      | $89354.35     | 0.03%             | 2061-01-16      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                              | MFA 2024-RTL3 Trust                                                   | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1182793.01   | 0.34%             | 2039-11-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2015-C                               | CUSIP: 78448R106<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |      2751 | PA      | $651333.64    | 0.19%             | 2046-09-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                          | SWCH Commercial Mortgage Trust 2025-DATA                              | CUSIP: 78489CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2241112.95   | 0.64%             | 2042-02-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1         | CUSIP: 35563PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    718858 | PA      | $664446.35    | 0.19%             | 2055-09-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding LLC and Carls                          | Hardee's Funding LLC                                                  | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1840601.63   | 0.52%             | 2050-12-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109379 | PA      | $99294.97     | 0.03%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380PX66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12760058 | PA      | $772557.72    | 0.22%             | 2062-05-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2025-SPOT                                | CUSIP: 12433FAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1178635 | PA      | $1188223.99   | 0.34%             | 2040-04-15      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    868519 | PA      | $205769.58    | 0.06%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FGKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    892355 | PA      | $119629.54    | 0.03%             | 2048-07-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381U8L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15043170 | PA      | $1702143.73   | 0.48%             | 2055-09-20      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380BB46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5417124 | PA      | $3943520.55   | 1.12%             | 2046-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FG2G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1064761 | PA      | $175432.66    | 0.05%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2024-1                                        | CUSIP: 618937AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    946325 | PA      | $823991.58    | 0.23%             | 2049-09-20      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US LONG BOND(CBT)                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        66 | NC      | $-138582.93   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4467821 | PA      | $282044.62    | 0.08%             | 2062-10-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H62K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4005765 | PA      | $524778.46    | 0.15%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria SA                                       | La Hipotecaria El Salvadorian Mortgage Trust 2019-1                   | CUSIP: 50346WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | NUSS              | PA        |   1013741 | PA      | $973060.39    | 0.28%             | 2046-09-29      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                 | CUSIP: 3132HBZS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1568658 | PA      | $1532087.94   | 0.44%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114923 | PA      | $125221.45    | 0.04%             | 2042-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2018-LUAU                           | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $1059494.85   | 0.30%             | 2032-11-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380JKP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1343476 | PA      | $50777.75     | 0.01%             | 2060-03-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380N4W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8650370 | PA      | $537098.89    | 0.15%             | 2060-01-16      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Mach I                                                  | MACH 1 Cayman 2019-1 Ltd                                              | CUSIP: 55446MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    156750 | PA      | $155445.37    | 0.04%             | 2039-10-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | J.P. Morgan Mortgage Trust 2021-14                                    | CUSIP: 46653QBZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20205261 | PA      | $608808.75    | 0.17%             | 2052-05-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378TEW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5054043 | PA      | $625721.86    | 0.18%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617GSZQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71143 | PA      | $68818.18     | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-HRP1                                                 | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |   2038244 | PA      | $2419454.63   | 0.69%             | 2043-05-25      | Floating      | 15.74%                | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                          | Greystone CRE Notes 2025 HC-4 LLC                                     | CUSIP: 39809NAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $996398.90    | 0.28%             | 2042-10-15      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| CEDR Trust                                              | CEDR Commercial Mortgage Trust 2022-SNAI                              | CUSIP: 12524AAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $979771.70    | 0.28%             | 2039-02-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4481053 | PA      | $272744.19    | 0.08%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382KK44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4416759 | PA      | $762144.03    | 0.22%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2022-FL8 Ltd                                                      | CUSIP: 55284JAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1099478.93   | 0.31%             | 2037-02-19      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136BASJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17015800 | PA      | $795425.70    | 0.23%             | 2032-12-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2019-IMC                                 | CUSIP: 05608BAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1452048.00   | 0.41%             | 2034-04-15      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114096 | PA      | $94426.61     | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136ATLX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3434351 | PA      | $418354.47    | 0.12%             | 2038-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                           | NYC Commercial Mortgage Trust 2025-28L                                | CUSIP: 67123JAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $998448.10    | 0.28%             | 2038-11-05      | Variable      | 9.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140X92S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303881 | PA      | $251234.96    | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust Series 2024-3                                | CUSIP: 46657QBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33219404 | PA      | $669827.76    | 0.19%             | 2054-05-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H6ZT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34136137 | PA      | $595641.45    | 0.17%             | 2032-02-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126882 | PA      | $116597.83    | 0.03%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 31395QC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2093241 | PA      | $353483.48    | 0.10%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617Q6VQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1120672 | PA      | $994901.96    | 0.28%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                          | BRAVO Residential Funding Trust 2024-NQM5                             | CUSIP: 105925AC5<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-MBS          | CORP              | US        |    709605 | PA      | $715523.94    | 0.20%             | 2064-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38384GXW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1836700 | PA      | $387288.74    | 0.11%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    829504 | PA      | $737365.85    | 0.21%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383YKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5814580 | PA      | $4130760.26   | 1.17%             | 2064-08-16      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FLVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1212747 | PA      | $138251.21    | 0.04%             | 2049-05-15      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                          | Bayview Opportunity Master Fund VII 2024-EDU1 LLC                     | CUSIP: 07336PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1347662 | PA      | $1369655.20   | 0.39%             | 2047-06-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -2800000 | PA      | $-2827587.39  | -0.80%            | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5100000 | PA      | $5150248.46   | 1.46%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2021-R01                          | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1229276.07   | 0.35%             | 2041-10-25      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132D9F74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1966301 | PA      | $1775814.91   | 0.50%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31418AS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1304854 | PA      | $1272939.82   | 0.36%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                          | Freddie Mac Multifamily PC REMIC Trust 2019-RR01                      | CUSIP: 3137FQ3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2400000 | PA      | $72588.96     | 0.02%             | 2028-06-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HCN65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1024331 | PA      | $199110.32    | 0.06%             | 2054-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BJK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10586967 | PA      | $1844275.14   | 0.52%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz                          | NRM FNT1 Excess LLC                                                   | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    741462 | PA      | $755331.38    | 0.21%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                          | 280 Park Avenue 2017-280P Mortgage Trust                              | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2441949.75   | 0.69%             | 2034-09-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust Series 2024-BPL1                                      | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1003674.20   | 0.29%             | 2029-02-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137AW2C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2088885 | PA      | $337925.41    | 0.10%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382AYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2399932 | PA      | $473148.13    | 0.13%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381E2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1940070 | PA      | $806210.59    | 0.23%             | 2063-10-16      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HCMV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2362006 | PA      | $419445.97    | 0.12%             | 2054-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                 | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7281264 | PA      | $6715263.44   | 1.91%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                               | Nelnet Student Loan Trust 2025-D                                      | CUSIP: 639931AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1790045.82   | 0.51%             | 2054-08-20      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BK3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1746809 | PA      | $259027.48    | 0.07%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2020-GC47                                | CUSIP: 36258RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16849664 | PA      | $658356.82    | 0.19%             | 2053-05-12      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H53L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4400000 | PA      | $3097574.48   | 0.88%             | 2042-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H1X92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6811284 | PA      | $912989.91    | 0.26%             | 2048-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382WKF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6755151 | PA      | $1178676.58   | 0.33%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307776 | PA      | $304244.84    | 0.09%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5200000 | PA      | $4673296.89   | 1.33%             | 2056-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                           | Starwood Mortgage Residential Trust 2021-4                            | CUSIP: 85573PAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1490000 | PA      | $1066227.61   | 0.30%             | 2056-08-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379FFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1487061 | PA      | $292368.19    | 0.08%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381B4T8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    550978 | PA      | $502510.14    | 0.14%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19800000 | PA      | $20079949.03  | 5.71%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -3500000 | PA      | $-3549485.94  | -1.01%            | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382MKC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3506879 | PA      | $601423.48    | 0.17%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2856673 | PA      | $2178131.82   | 0.62%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4338204 | PA      | $243137.26    | 0.07%             | 2060-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382FVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1018034 | PA      | $183369.05    | 0.05%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10700000 | PA      | $9231257.87   | 2.62%             | 2056-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31417EY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2170620 | PA      | $2007513.07   | 0.57%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                | Venture Global Calcasieu Pass LLC                                     | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    930000 | PA      | $846921.14    | 0.24%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    619090 | PA      | $94123.40     | 0.03%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90058 | PA      | $82811.58     | 0.02%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg                          | Saluda Grade Alternative Mortgage Trust 2024-RTL4                     | CUSIP: 79584CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1139767.67   | 0.32%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGKD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681971 | PA      | $94256.98     | 0.03%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD Commercial Mortgage Trust 2024-UNIV                              | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1175279.86   | 0.33%             | 2041-11-15      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FF2J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4702212 | PA      | $491399.48    | 0.14%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit                           | Freddie Mac Mscr Trust Mn7                                            | CUSIP: 35563QAC1<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1830466.24   | 0.52%             | 2043-09-25      | Floating      | 12.72%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381ATU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1727877 | PA      | $203114.73    | 0.06%             | 2048-10-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                          | Bayview Opportunity Master Fund VII 2025-EDU1 LLC                     | CUSIP: 07337GAD5<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |   2083936 | PA      | $2086993.89   | 0.59%             | 2048-07-27      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192828 | PA      | $28701.33     | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHIMERA INVESTMENT CORP                                 | Chimera Investment Corp                                               | CUSIP: 16934Q505<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     61325 | NS      | $1308062.25   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13500000 | PA      | $11942753.94  | 3.39%             | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388985 | PA      | $71990.34     | 0.02%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXFC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2669157 | PA      | $2745287.79   | 0.78%             | 2045-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-FTR1                                     | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |   2810000 | PA      | $3335645.91   | 0.95%             | 2048-01-25      | Floating      | 12.34%                | No            |                  2 | On Loan: No      |
| SUNRUN VULCAN ISSUER LLC                                | Sunrun Vulcan Issuer 2021-1 LLC                                       | CUSIP: 86773QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    648360 | PA      | $597700.06    | 0.17%             | 2052-01-30      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1500000 | PA      | $-1461328.13  | -0.42%            | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133KGFZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106031 | PA      | $105107.41    | 0.03%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6300000 | PA      | $6137578.13   | 1.74%             | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limite                          | DK 2024-SPT1 Note Backed Trust                                        | CUSIP: 23292KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    587364 | PA      | $601127.79    | 0.17%             | 2066-04-28      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                         | SEB Funding LLC                                                       | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1870000 | PA      | $1914803.52   | 0.54%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379JHX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600131 | PA      | $100769.60    | 0.03%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381HMU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6500000 | PA      | $4531291.70   | 1.29%             | 2063-10-16      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B5EN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2609295 | PA      | $359225.58    | 0.10%             | 2049-07-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-HQA4                               | CUSIP: 35564KPP8<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1048455.30   | 0.30%             | 2041-12-25      | Floating      | 10.87%                | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2021-B25 Mortgage Trust                                     | CUSIP: 08163DAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16559345 | PA      | $710639.34    | 0.20%             | 2054-04-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83561 | PA      | $76940.19     | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H63C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1452416 | PA      | $183099.51    | 0.05%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137BDBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2618038 | PA      | $2152982.45   | 0.61%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                              | ROCK Trust 2024-CNTR                                                  | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1493581.04   | 0.42%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1031748 | PA      | $174816.03    | 0.05%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382HJ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3697892 | PA      | $528932.37    | 0.15%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BRH67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9452370 | PA      | $1272590.56   | 0.36%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B6LX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3038995 | PA      | $367919.83    | 0.10%             | 2049-10-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                          | Credit Suisse First Boston Mortgage Securities Corp                   | CUSIP: 22540VQ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97432 | PA      | $99062.86     | 0.03%             | 2032-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                           | Citigroup Commercial Mortgage Trust 2015-GC29                         | CUSIP: 17323VBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $913687.20    | 0.26%             | 2048-04-10      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6840203 | PA      | $1004993.41   | 0.29%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2021-INV1                                                   | CUSIP: 12566PCU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  74422705 | PA      | $651823.82    | 0.19%             | 2051-07-01      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65435 | PA      | $54128.55     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FTYH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4716953 | PA      | $1104456.52   | 0.31%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136B86Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5921778 | PA      | $247175.61    | 0.07%             | 2029-01-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381BDT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    747511 | PA      | $728246.15    | 0.21%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38374JQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210904 | PA      | $2130.13      | 0.00%             | 2034-10-16      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  66128406 | PA      | $1300613.49   | 0.37%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379WWN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1299532 | PA      | $146395.83    | 0.04%             | 2046-04-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLI LLC                                  | J.G. Wentworth XLI LLC                                                | CUSIP: 46651TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1574035 | PA      | $1397742.08   | 0.40%             | 2074-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                          | Bayview Opportunity Master Fund VII 2024-CAR1 LLC                     | CUSIP: 07336QAE2<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    590190 | PA      | $596967.51    | 0.17%             | 2031-12-26      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122938 | PA      | $17932.09     | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31410LVE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1478671 | PA      | $1395443.71   | 0.40%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                            | Huntington Bank Auto Credit-Linked Notes Series 2025-1                | CUSIP: 446438TA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813743 | PA      | $819842.03    | 0.23%             | 2033-03-21      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BBA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1289906 | PA      | $80268.77     | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38376ETM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50456 | PA      | $50926.73     | 0.01%             | 2059-11-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133D3X67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58362 | PA      | $52484.04     | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                               | BMP 2024-MF23                                                         | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $1425298.02   | 0.40%             | 2041-06-15      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59572 | PA      | $50953.34     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F062614<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2078793.66   | 0.59%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                          | Structured Asset Mortgage Investments II Trust 2006-AR6               | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56119 | PA      | $49432.79     | 0.01%             | 2046-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275117 | PA      | $245156.98    | 0.07%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38384VTD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11381665 | PA      | $1033982.16   | 0.29%             | 2054-10-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2024-BIO2                                | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $996837.02    | 0.28%             | 2041-08-13      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382MTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    629834 | PA      | $628447.00    | 0.18%             | 2051-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H8UB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25441260 | PA      | $422800.68    | 0.12%             | 2032-07-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2019-FAME                | CUSIP: 63873VAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $958691.14    | 0.27%             | 2036-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380LU50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    563167 | PA      | $563686.82    | 0.16%             | 2070-01-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BHUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1715894 | PA      | $228805.09    | 0.07%             | 2047-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286606 | PA      | $234064.39    | 0.07%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                             | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223941 | PA      | $231521.54    | 0.07%             | 2047-11-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                            | Atrium Hotel Portfolio Trust 2017-ATRM                                | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $924500.00    | 0.26%             | 2036-12-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXXIX Ltd                                                   | CUSIP: 559923AE7<br>LEI: 529900728SHVCI48J015 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $797736.80    | 0.23%             | 2037-01-25      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                               | GSMPS Mortgage Loan Trust 2006-RP2                                    | CUSIP: 36298XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    786297 | PA      | $682139.25    | 0.19%             | 2036-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179USX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124379 | PA      | $127803.60    | 0.04%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F6P92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174423 | PA      | $23748.48     | 0.01%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                           | GS Mortgage-Backed Securities Trust 2022-NQM1                         | CUSIP: 36264EBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1424076 | PA      | $1243275.05   | 0.35%             | 2062-05-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179UQ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170126 | PA      | $175010.15    | 0.05%             | 2049-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14823992 | PA      | $496176.79    | 0.14%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                       | Lithia Motors Inc                                                     | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $961772.60    | 0.27%             | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383FF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3227076 | PA      | $597035.29    | 0.17%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                      | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     40000 | PA      | $39882.03     | 0.01%             | 2032-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                             | RAAC Series 2007-SP1 Trust                                            | CUSIP: 74978AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029885 | PA      | $865745.46    | 0.25%             | 2037-03-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                             | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1298669 | PA      | $1300987.01   | 0.37%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -7000000 | PA      | $-6640612.58  | -1.89%            | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8400000 | PA      | $7968735.10   | 2.26%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382HMZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1957988 | PA      | $291234.41    | 0.08%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited                           | Lunar 2021-1 Structured Aircraft Portfolio Notes                      | CUSIP: 83438LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    887253 | PA      | $848994.47    | 0.24%             | 2046-10-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38375BAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145691 | PA      | $146164.15    | 0.04%             | 2060-02-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGV57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722791 | PA      | $90452.55     | 0.03%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F7PV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4882471 | PA      | $593846.64    | 0.17%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                          | Starwood Retail Property Trust 2014-STAR                              | CUSIP: 85571XAN7<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   2324000 | PA      | $75530.00     | 0.02%             | 2027-11-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HKRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5332791 | PA      | $953909.88    | 0.27%             | 2055-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Capital Automotive Reit                                 | CARS-DB7 LP                                                           | CUSIP: 12510HAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1179675 | PA      | $1188638.76   | 0.34%             | 2053-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HHNF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326680 | PA      | $328723.00    | 0.09%             | 2054-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485257 | PA      | $421464.86    | 0.12%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BCAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460759 | PA      | $79123.80     | 0.02%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2021-A                               | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2263423 | PA      | $2006168.79   | 0.57%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1         | CUSIP: 35563PAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4373380 | PA      | $662993.09    | 0.19%             | 2055-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    639374 | PA      | $571190.00    | 0.16%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380RRS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1102030 | PA      | $813521.05    | 0.23%             | 2063-06-16      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1500000 | PA      | $-1496806.20  | -0.43%            | 2056-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5800000 | PA      | $5787650.64   | 1.64%             | 2056-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2025-FL17 LLC                                                     | CUSIP: 55287HAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    470000 | PA      | $467926.50    | 0.13%             | 2040-02-18      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HHLW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342439 | PA      | $344610.70    | 0.10%             | 2054-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133A4XP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146257 | PA      | $132942.94    | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                                | Redwood Funding Trust 2025-3                                          | CUSIP: 75806GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $908438.49    | 0.26%             | 2056-12-27      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H4HJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4700000 | PA      | $3319113.68   | 0.94%             | 2051-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FYCR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6577268 | PA      | $793811.80    | 0.23%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4283647 | PA      | $455754.38    | 0.13%             | 2035-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1         | CUSIP: 35563PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6997090 | PA      | $820816.76    | 0.23%             | 2055-09-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382XHX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2683428 | PA      | $515948.84    | 0.15%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2021-230P                              | CUSIP: 61772WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1870115.00   | 0.53%             | 2038-12-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK32                                                       | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6026443 | PA      | $170849.05    | 0.05%             | 2054-04-15      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                           | Sierra Timeshare 2024-1 Receivables Funding LLC                       | CUSIP: 826935AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    556725 | PA      | $569950.69    | 0.16%             | 2043-01-20      | Fixed         | 8.02%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                                | Dividend Solar Loans 2018-1 LLC                                       | CUSIP: 255396AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    411702 | PA      | $389222.14    | 0.11%             | 2038-07-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2006-OA9                                       | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53896 | PA      | $47299.84     | 0.01%             | 2046-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379RPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322836 | PA      | $7560.44      | 0.00%             | 2058-07-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H4VF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2914380 | PA      | $591446.40    | 0.17%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TWO HARBORS INV CORP                                    | Two Harbors Investment Corp                                           | CUSIP: 90187BAB7<br>LEI: 549300ZUIBT6KH4HU823 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1596000.00   | 0.45%             | 2026-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136B9NK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  39453295 | PA      | $675890.17    | 0.19%             | 2032-04-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382NZ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    947122 | PA      | $946395.10    | 0.27%             | 2051-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534526 | PA      | $483357.16    | 0.14%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F8D59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1836602 | PA      | $260778.54    | 0.07%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XQFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5819669 | PA      | $4970369.60   | 1.41%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                           | NYC Commercial Mortgage Trust 2025-28L                                | CUSIP: 67123JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $353701.67    | 0.10%             | 2038-11-05      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3617MKMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1400376 | PA      | $1307540.66   | 0.37%             | 2050-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B3HQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1136355 | PA      | $1066290.39   | 0.30%             | 2048-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -2000000 | PA      | $-2067656.26  | -0.59%            | 2056-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2067656.26   | 0.59%             | 2056-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50079 | PA      | $46111.97     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pear LLC                                                | PEAR 2021-1 LLC                                                       | CUSIP: 70472TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148442 | PA      | $147999.01    | 0.04%             | 2034-01-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136AKWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646856 | PA      | $47104.20     | 0.01%             | 2044-08-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $11716518.60  | 3.33%             | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1         | CUSIP: 35563PAH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  44141192 | PA      | $178771.83    | 0.05%             | 2055-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                          | Avis Budget Rental Car Funding AESOP LLC                              | CUSIP: 05377RJU9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1230000 | PA      | $1265177.75   | 0.36%             | 2029-12-20      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGZ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5409059 | PA      | $806560.42    | 0.23%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2025-R02                          | CUSIP: 20754TAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $603973.32    | 0.17%             | 2045-02-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382HYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5376495 | PA      | $815793.94    | 0.23%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                                | Redwood Funding Trust 2025-3                                          | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1305938 | PA      | $1318685.41   | 0.37%             | 2056-12-27      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52368 | PA      | $46399.11     | 0.01%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617Q0FZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    939356 | PA      | $891823.20    | 0.25%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                                           | ZF North America Capital Inc                                          | CUSIP: 98877DAG0<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    650000 | PA      | $636142.20    | 0.18%             | 2032-04-23      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2024-3                                     | CUSIP: 92540MAC9<br>LEI: 2138005NRONUFED1TZ38 | Long             | ABS-MBS          | CORP              | US        |    403739 | PA      | $408770.32    | 0.12%             | 2069-04-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382X6W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4365293 | PA      | $647526.24    | 0.18%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B6HG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1431596 | PA      | $155277.59    | 0.04%             | 2049-10-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2025-FL17 LLC                                                     | CUSIP: 55287HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    410000 | PA      | $407181.87    | 0.12%             | 2040-02-18      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485061 | PA      | $441968.94    | 0.13%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $472402.35    | 0.13%             | 2056-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 31395Q3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4942694 | PA      | $847122.58    | 0.24%             | 2043-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 31424UBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1618765 | PA      | $297045.55    | 0.08%             | 2052-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622A3CN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    999673 | PA      | $946387.56    | 0.27%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36208AZY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       787 | PA      | $793.39       | 0.00%             | 2058-08-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY SR INC                                     | Arbor Realty SR Inc                                                   | CUSIP: 03881NAL1<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |    400000 | PA      | $398531.14    | 0.11%             | 2028-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                             | CAFL 2023-RTL1 Issuer LLC                                             | CUSIP: 124762AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1140000.00   | 0.32%             | 2030-12-28      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2022-1                                     | CUSIP: 92538WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $319669.16    | 0.09%             | 2067-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B5PY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1549552 | PA      | $166417.73    | 0.05%             | 2049-08-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BHK40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3100286 | PA      | $427355.18    | 0.12%             | 2048-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-21

**Name of Applicant:** Legg Mason Partners Income Trust

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer